Rolling Over Short-Dated Futures Contracts Is the Same as Taking

question 10

Multiple Choice

Rolling over short-dated futures contracts is the same as taking one long-dated futures contract if

• A)The interest rates are constant.
• B)The average change in the spot price is zero over the life of the contract.
• C)There is daily mark-to-market of both the short-dated and long-dated contracts.
• D)The size (notional value)of the open position in the futures does not change over the horizon of the transactions.

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Definitions:

Experimental Group

The group in an experiment that receives the treatment or intervention, allowing researchers to measure the effect of that intervention.

Power Analysis

A statistical method used to determine the sample size required to detect an effect of a given size from a statistical test.

Empirical Reasoning

A method of thinking that bases conclusions on direct, observable evidence and experience.

Control Group

A standard or baseline group in an experiment or study that does not receive the treatment or intervention being tested, for comparison purposes.