券和组合课后习题答案：sm22.docxVIP

CHAPTER 22 FORWARD AND FUTURES CONTRACTS Answers to Ouestions There are many different reasons some futures contracts succeed and some fail, but the most important is demand. If people need a particular contract to expose themselves to or hedge a price risk, then the contract will succeed. Most people use Treasury bond futures to gain exposure to or hedge general long-term interest rate risk. The only additional advantage of futures on corporate bonds would be that the investors could gain exposure to changes in the credit spread. Apparently there is little demand for this, either because investors do not want to hedge or gain exposure to this risk or because the underlying market is not liquid enough to support futures. Either way, the lack of futures is motivated by a lack of demand in the asset or futures contract. The lack of chicken contracts most likely derives from a similar lack of demand. It could be that chicken prices are highly correlated with other existing contract prices, so investors do not need the additional chicken contract. Perhaps there are too many different types of chickens to have a single contract that would attract enough trading volume. Before entering into a futures or forward contract, hedgers have exposure to price changes in the underlying asset. To hedge this risk, hedgers enter into contracts that most closely offset this price risk. The problem is that for most hedgers there is not a contract that exactly matches their exposure. Perhaps, the commodity they use is a different grade or needed in a different location than specified in the contract, so differences in prices between the actual asset the company is exposed to and the asset in the contract may exist and change over time. Likewise, a portfolio manager hedging a stock portfolio may hold a portfolio that is not perfectly correlated with the index future he/she is using to hedge with. To minimize basis risk it is necessary to find the contract whose price is most highly corre