Which of the Below Statements Is FALSE

Multiple Choice

Which of the below statements is FALSE?

A) For strategies applied to stock index futures, a short sale of the stocks in the index means that all stocks in the index must be sold at different times.
B) When illustrating arbitrage strategies, one assumes that (1) only one asset is deliverable, and (2) the settlement date occurs at a known, fixed point in the future.
C) Some futures contracts involve a single asset, but other contracts apply to a basket of assets or an index.
D) The basic arbitrage model presented in this chapter ignores not only taxes but also different tax treatment of cash market transactions and futures transactions.