Futures and spot returns

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Marco Castelnuovo
Posts: 6
Joined: Tue Jun 05, 2012 10:13 pm

Futures and spot returns

Postby Marco Castelnuovo » Tue Oct 09, 2012 10:40 pm

Dear Carol,
if I plug III.2.9 (r_f = r_s - r + y, p. 90) into r_f, in III.2.50 (p. 116) I obtain N(r - beta[r_s - r + y]), whilst in the corrections you have stated that it should read N(r - beta[r_s + r - y]).

What is correct (I think III.2.9 should be correct...not so sure about the III.2.50 correction)?

Thank you,
Marco


P.S.: I have checked, and signs regarding the first step (first line, rhs) should not have been changed in the correction of III.2.50. Signs of the last step are +,-,-. Is this correct?

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: Futures and spot returns

Postby coalexander » Wed Dec 26, 2012 1:20 pm

Hi Marco

I can't spot the difference -- you write "I obtain N(r - beta[r_s - r + y]), whilst in the corrections you have stated that it should read N(r - beta[r_s + r - y])."


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