Questions from Business Statistics

Q: You are the manager of a stock portfolio. On October 1

You are the manager of a stock portfolio. On October 1, your holdings consist of the eight stocks listed in the following table, which you intend to sell on December 31. You are concerned about a mark...

Q: On March 1, a securities analyst recommended General Cinema stock as

On March 1, a securities analyst recommended General Cinema stock as a good purchase in the early summer. The portfolio manager plans to buy 20,000 shares of the stock on June 1 but is concerned that...

Q: During the first six months of the year, yields on long

During the first six months of the year, yields on long-term government debt have fallen about 100 basis points. You believe that the decline in rates is over, and you are interested in speculating on...

Q: On November 1, an analyst who has been studying a firm

On November 1, an analyst who has been studying a firm called Computer Sciences believes that the company will make a major announcement before the end of the year. Computer Sciences currently is pric...

Q: On August 20, a stock index future, which expires on

On August 20, a stock index future, which expires on September 20, was priced at 429.70. The index was at 428.51. The dividend yield was 2.7 percent. Discuss the concept of the implied repo rate on an...

Q: You are the manager of a stock portfolio worth $10,

You are the manager of a stock portfolio worth $10,500,000. It has a beta of 1.15. During the next three months, you expect a correction in the market that will take the market down about 5 percent; t...

Q: A euro put with an exercise price of $1.00

A euro put with an exercise price of $1.00 is priced at $0.0435. Construct a simple long position in the put.

Q: Explain how the implied repo rate on a spread transaction differs from

Explain how the implied repo rate on a spread transaction differs from that on a nearby futures contract.

Q: The manager of a $20 million portfolio of domestic stocks with

The manager of a $20 million portfolio of domestic stocks with a beta of 1.10 would like to begin diversifying internationally. He would like to sell $5 million of domestic stock and purchase $5 milli...

Q: As we discussed in the chapter, futures can be used to

As we discussed in the chapter, futures can be used to eliminate systematic risk in a stock portfolio, leaving it essentially a risk-free portfolio. A portfolio manager can achieve the same result, ho...