金融学 第二版 兹维.博迪 罗伯特C默顿等著Bodie2_IM_Ch14.pdfVIP

CHAPTER 14 - Forward and Futures Markets End-of-Chapter Problems 1. Explain why an investor might take an illiquid position in a forward contract rather than using an exchange-traded futures contract? Solution: This is a simple tradeoff between contract customization and standardization. The exchange-traded futures contract is liquid because the standardization of the contracts gives the market sufficient volume and depth to maintain high liquidity. Obviously if the investor is willing to sacrifice the liquidity it is either because it is not important, as would be the case if the investor plans to hold the position and consummate the forward contract, or because it has attractive specialized characteristics in the dimensions of maturity, size, etc. 2. Explain in detail what is meant by a “speculator taking a short position in Australian dollar futures.” Solution: A speculator is an investor looking to profit from forecasts of future spot rates and is not investing in the futures market to hedge a position. A short position is a liability so the has agreed to sell the asset in question at the specified price in the future. If the asset is Australian dollars the position is to sell Australian dollars for another currency, perhaps the US dollar. Thus the short Australian dollar position is equivalent to a long US dollar position. Finally it is a futures contract rather than a forward contract so it has standardized features making it liquid, most likely traded actively on an exchange. 3. Suppose you are the manager of a municipal electric company that buys electricity on the wholesale market and distibutes it to residential customers and charges by passing on the price of the electricity plus operating costs. Without a fixed-price supply contract, what futures market position could you undertake to hedge the resident’s exposure to higher cooling bills this summer if an electricity shortage were to develop? Solution: You would want to tak