risk-free rate
On the risk free rate
... increased risk premia and risk aversion. Firstly, risk premia increase during times of market ...Credit risk is increased, due to the wors- ened economic circumstances, and liquidity ...
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Determining the optimal capital structure based on revised definitions of tax shield and bankruptcy cost
... growth rate whilst needing an outside ...abnormal rate of 10% (in addition to a risk-free rate 5%), and need a guarantee to obtain the debt ...growth rate, ...
25
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk
... We begin with an overview of CDS spreads in the period we examine. Figure 2 exhibits time series plots of monthly CDS spreads of two contracts versus explanatory variables. We select two contracts as representatives of ...
36
Evaluation of the efficiency of European Union farms: a risk-adjusted return approach . Agric. Econ. – Czech, 64: 241–255.
... the risk-free rate of ...The risk-free rate increases with the increase in coupon interest payments per year, the decrease in maturity and the decline in government securities ...
15
Sovereign debt default: the impact of creditor composition
... the rate of interest and on the probability of default, and have access to a commitment technology for delivering on promises next period while small lenders do ...any rate of interest higher than the ...
21
Estimating the cost of capital for implementation of price controls by UK regulators
... real risk-free rates should be ...the risk-free asset, and hence depressing its ...issue risk-free debt (essentially, fiscally sound governments and private borrowers with ...
194
Macroeconomic Determinants of Credit Spreads: An Empirical Comparison between Chinese and American Corporate Bonds
... and risk-free yield rate are negatively correlated with the credit spreads of both countries despite the fact that of all these three determinants M2 is not significant in the ...the ...
13
Empirical Testing of Capital Asset Pricing Model on Bahrain Bourse
... The study is undertaken to find out the relationship between portfolio returns and market returns and test the empirical validity of the standard CAPM model on Bahrain Bourse. The study is based on 39 companies listed in ...
13
Why Market Returns Favor Democrats in the White House
... bearing risk when a Democrat is President in the USA versus a ...period’s risk free rate is ...the risk free interest rates and differences in economic ...The rate of ...
11
Analysis of the tool for the valuation of R&D projects : a research conducted by Philips Lighting
... However, it improves the accuracy if the cash flows are discounted in the predevelopment stage using a risk free rate, because of the time value of money.. In the current model the proje[r] ...
57
Measuring the Performance of Leveraged and Non‑Leveraged ETF’s
... In order to monitor the portfolio performance it is advisable to compare it with the selected benchmark, which ETF seeks to copy. The regression analysis is based on determining the benchmark and the portfolio return ...
11
An Omega Ratio Analysis Of Global Hedge Fund Returns
... low risk asset. This indicates that there is very little downside risk as the probability of low returns nears ...average risk free rate of the period, in Table ...
22
Behavior of Macroeconomic Forces to Predict Stock Returns: Empirical Evidence from Global Financial Markets
... variables; risk free rate, market return, money supply, Inflation (CPI) and industrial production index on 115 listed non-financial firms of Karachi stock exchange over the period of ...
25
Measuring Asymmetric Nature of Beta Using a Smooth Linear Transformation
... systematic risk is rewarded as unsystematic risk can be reduced through diversi- ...the risk-free rate and risk premium estimated using ...the risk and the return can also ...
14
Short term performance analysis of IPOs in India
... The Relative Valuation Index for IPO with respect to market return is greater than 1 which means that the return obtained from investing in the new shares listed on BSE is more than the performance of market index. The ...
12
Approximation for Convenience Yield with Mean Reverting Commodity Price
... Longstaff (1995) [3] derives a simple analytical value of look-back option as the upper bound on the value of marketability using option-pricing theory. Heaney (2002) [4] uses the analysis of Longstaff (1995) [3] to ap- ...
10
Conditional Relationship Between Beta and Return in the US Stock Market
... the risk-free rate and the expected market risk premium is positive (see Morelli ...market risk premium may be negative (see Pettengill et ...the risk-fee ...in ...
10
A Note on the Effectiveness of Pairs Trading for Individual Investors
... (2011) compared the performance of pairs trading in the U.S. REIT market and the U.S. equity market over the period 1987-2008. They concluded that the REIT market provided superior profit opportunities between 1993 and ...
9
Black Scholes Equation with the Variable Risk free Interest Rate
... is risk-free interest rate which is ...the risk-free rate obeying a certain random process, as for the study of the risk-free interest rate which is ...
5
Value Averaging and the Automated Bias of Performance Measures
... growth rate is likely to be set above the expected rate of organic ...the risk premium to be 5% (as a very broad approximation), when we add investor overestimation of this risk premium and ...
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