Assets A, B, and C have identical levels of risk. The asset prices, as of January 1,
2000, are as follows:
Asset Price
A
$90.70
B
$105.69
C
$97.53
The entire cash flow returns for the assets are as follows:
Cash Flow at
Cash Flow at
Asset June 30, 2000
December 31, 2000
Cash Flow at
June 30, 2001
A
$100.00
B
$8.00
$108.00
C
$5.00
$5.00
$105.00
Calculate the 1 \frac{1}{2} year spot rate expressed as a nominal rate convertible
semiannually.
A 0.1000
B 0.1025
C 0.1200
D 0.1236
E 0.1400