Reading 61: Futures Markets and Contracts-LOS c 习题精选

A negative correlation between asset price changes and interest rate changes makes the mark-to-market feature unattractive to a futures buyer. This leads to a lower futures price, compared to the forward price on an otherwise identical contract.

Futures prices may be higher or lower than forward prices on a contract with identical terms, depending on the correlation between interest rate changes and the price changes of the underlying asset. When interest rates and asset values are positively correlated, the futures price tends to be higher, and when interest rates and asset values are negatively correlated, the futures price tends to be lower.

If the futures price is too low relative to the no-arbitrage price, buy futures, short the asset, and invest the proceeds at the risk-free rate until contract expiration. Take delivery of the asset at the futures price, pay for it with the loan proceeds and keep the profit. For Treasury bill (T-bills), shorting the asset is equivalent to borrowing at the T-bill rate.