1.Consider two assets with identical storage costs. For the asset with the greater convenience yield, the percentage difference between the no-arbitrage price and the spot price will be: A) lower any time prior to expiration. B) greater at contract initiation but the same at expiration. C) the same throughout the life of the contract. D) greater throughout the term of the contract. The correct answer was A) The net costs of holding an asset are Net Costs = Storage Costs – Convenience Yield. When the convenience yield is higher, net costs of carrying (storing) the asset are lower, and the futures price will be lower. The difference between the spot price and the futures price is zero at expiration for any asset. 2.The return from the non-monetary benefits of holding the asset underlying a futures contract is (are) called: A) the non-monetary return. B) negative-storage costs. C) cash flows. D) the convenience yield. The correct answer was D) The return from the non-monetary benefits of holding the asset underlying a futures contract is called the convenience yield. 3.All of the following are examples of the monetary benefits or costs of holding an asset underlying a futures contract EXCEPT: A) having a ready supply of the asset for business purposes. B) dividend payments from a portfolio of stocks. C) coupon interest payments from a bond. D) storage and insurance costs for storing gold. The correct answer was A) Having a ready supply of an asset for business purposes is a non-monetary benefit of holding the asset. | 
发表于 2008-4-18 14:30
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