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Journal articles on the topic 'Risk-free rate'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Gadidov, Anda, and M. C. Spruill. "Drift and the Risk-Free Rate." Journal of Probability and Statistics 2011 (2011): 1–19. http://dx.doi.org/10.1155/2011/595741.

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It is proven, under a set of assumptions differing from the usual ones in the unboundedness of the time interval, that, in an economy in equilibrium consisting of a risk-free cash account and an equity whose price process is a geometric Brownian motion on , the drift rate must be close to the risk-free rate; if the drift rate and the risk-free rate are constants, then and the price process is the same under both empirical and risk neutral measures. Contributing in some degree perhaps to interest in this mathematical curiosity is the fact, based on empirical data taken at various times over an

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2

Mayordomo, Sergio, Juan Ignacio Peña, and Eduardo S. Schwartz. "Towards a common Eurozone risk free rate." European Journal of Finance 21, no. 12 (2014): 1005–22. http://dx.doi.org/10.1080/1351847x.2014.912670.

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3

KERIMOV, Pavlo. "Features of risk-free rate estimation in Ukraine." Fìnansi Ukraïni 2019, no. 285 (2019): 61–74. http://dx.doi.org/10.33763/finukr2019.08.061.

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4

Cecchetti, Stephen G., Pok-sang Lam, and Nelson C. Mark. "The equity premium and the risk-free rate." Journal of Monetary Economics 31, no. 1 (1993): 21–45. http://dx.doi.org/10.1016/0304-3932(93)90015-8.

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5

Yu, Han. "Research on Stock Return Rate." Frontiers in Business, Economics and Management 2, no. 1 (2021): 8–15. http://dx.doi.org/10.54097/fbem.v2i1.28.

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There is a certain relationship among stock return rate, market return rate and risk-free interest rate, which is worth discussing, and it is helpful for us to analyze stocks and evaluate their prices. I have found that the market return rate and risk-free rate have correlation through multiple regression, and other stock's return rate can affect the target stock to some extent. The stock return rate is positively related to the market interest rate and inversely related to the risk-free interest rate.

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6

GHAZARYAN, Amasya, Satine ASOYAN, and Vahagn MELIK-PARSADANYAN. "The Credit Spread: Risk-Free Rate in the Model." Theoretical and Practical Research in Economic Fields 15, no. 3 (2024): 647. http://dx.doi.org/10.14505/tpref.v15.3(31).11.

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This paper proposes a parsimonious credit spread estimation model for valuation of corporate bonds in data-scarce markets. We emphasize the importance of incorporating the risk-free rate directly into credit spread determination. Our model aligns with established literature and demonstrates the ability to capture the observed influence of risk-free rates on credit spreads across economies. We posit that models omitting the risk-free rate component may underestimate credit spreads, particularly impactful in emerging markets with elevated default probabilities and high risk-free rates. Finally,

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7

Elul, Ronel. "Financial innovation, precautionary saving and the risk-free rate." Journal of Mathematical Economics 27, no. 1 (1997): 113–31. http://dx.doi.org/10.1016/0304-4068(95)00768-7.

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8

Tang, Yitian. "The Impact of Population Aging on Risk-free Rate." Advances in Economics, Management and Political Sciences 65, no. 1 (2023): 53–59. http://dx.doi.org/10.54254/2754-1169/65/20231582.

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This study delves into the relationship between the long-term trend of population aging and the risk-free rate against the backdrop of China's diminishing demographic dividend and declining birth rate. It further examines the mechanisms via which population aging affects the risk-free rate. The phenomenon of population aging is distinguished by a rise in the percentage of older individuals and a decline in the percentage of younger individuals, hence exerting a diverse range of effects on the economy. The demographic transition holds significant influence over savings, investment, labor supply

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9

Martinka, Jozef, Peter Rantuch, Igor Wachter, and Karol Balog. "Fire Risk of Halogen-Free Electrical Cable." Research Papers Faculty of Materials Science and Technology Slovak University of Technology 26, no. 42 (2018): 21–27. http://dx.doi.org/10.2478/rput-2018-0002.

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Abstract This paper deals with the fire risk of a selected halogen-free electrical cable. The research was objected to a three-core power electric cable for a fixed installation CHKE J3x1.5 (cross section of each copper core was 1.5 mm2) with a declared class of reaction to fire B2ca, s1, d1, a1. The electrical cable was manufactured and supplied by VUKI, a. s., Slovakia. The fire risk of the electric cable was evaluated based on the heat release rate, total heat release, smoke release rate, total smoke release and effective heat of combustion. These parameters were measured using a cone calor

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10

Boskovska, Diana. "Some problems in determining the free risk rate of return." IOSR Journal of Business and Management 14, no. 2 (2013): 70–73. http://dx.doi.org/10.9790/487x-1427073.

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11

Zhang, Xiaoge. "Belief-driven growth slowdowns and zero-bounded risk-free rate." North American Journal of Economics and Finance 59 (January 2022): 101600. http://dx.doi.org/10.1016/j.najef.2021.101600.

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12

Simozar, Saied. "Adjustment to Risk Free Rate/ Violation of Put-Call Parity." Applied Economics and Finance 6, no. 6 (2019): 80. http://dx.doi.org/10.11114/aef.v6i6.4521.

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The present value of a forward contract for any asset that does not pay a dividend is calculated by discounting its forward price by the risk-free rate. We show that the discount function for assets that have a non-zero correlation with interest rates, has to be adjusted to account for the correlation between the asset and interest rates. Put-Call parity is also violated and needs to be adjusted as well for such assets. It is shown that the risk-free rate is asset dependent. The adjustment to the price is small for short dated forwards, but increases quadratically with time to maturity.

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13

Hutchison, Norman, Patricia Fraser, Alastair Adair, and Rahul Srivatsa. "The risk free rate of return in UK property pricing." Journal of European Real Estate Research 4, no. 3 (2011): 165–84. http://dx.doi.org/10.1108/17539261111183407.

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14

Marini, François. "Financial intermediation in the theory of the risk-free rate." Journal of Banking & Finance 35, no. 7 (2011): 1663–68. http://dx.doi.org/10.1016/j.jbankfin.2010.11.009.

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15

Mello, Marcelo, and Roberto Guimarães-Filho. "Finite horizons, human wealth, and the risk-free rate puzzle." Economics Letters 85, no. 2 (2004): 265–70. http://dx.doi.org/10.1016/j.econlet.2004.04.014.

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16

Weil, Philippe. "The equity premium puzzle and the risk-free rate puzzle." Journal of Monetary Economics 24, no. 3 (1989): 401–21. http://dx.doi.org/10.1016/0304-3932(89)90028-7.

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17

Huggett, Mark. "The risk-free rate in heterogeneous-agent incomplete-insurance economies." Journal of Economic Dynamics and Control 17, no. 5-6 (1993): 953–69. http://dx.doi.org/10.1016/0165-1889(93)90024-m.

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18

Feghhi Kashani, Mohammad, and Zahra Ziyaee. "Supply Side Implications of Ambiguity Aversion for Risk Premium and Risk-Free Rate Puzzles." Planning and Budgeting 29, no. 1 (2024): 51–78. http://dx.doi.org/10.61186/jpbud.29.1.51.

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19

Kim, Jin Yeop, Ji Hun Lim, Il Gyo Jeong, Moon Kyu Ham, and Sun-Joong Yoon. "Listing of RFR (Risk-Free Rate) Futures in Korean Financial Markets." Asian Review of Financial Research 34, no. 2 (2021): 167–203. http://dx.doi.org/10.37197/arfr.2021.34.2.6.

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20

Zhang, Tongbin. "Stock prices and the risk-free rate: An internal rationality approach." Journal of Economic Dynamics and Control 127 (June 2021): 104103. http://dx.doi.org/10.1016/j.jedc.2021.104103.

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21

Borri, Nicola, and Giuseppe Ragusa. "Sensitivity, Moment Conditions, and the Risk-Free Rate in Yogo (2006)." Critical Finance Review 6, no. 2 (2017): 381–93. http://dx.doi.org/10.1561/104.00000050.

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22

Ilomäki, Jukka, and Hannu Laurila. "Real Risk-Free Rate, the Central Bank, and Stock Market Bubbles." Journal of Reviews on Global Economics 6 (August 23, 2017): 420–25. http://dx.doi.org/10.6000/1929-7092.2017.06.43.

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23

Cui, Xiaoyong, and Liutang Gong. "THE RISK-FREE RATE IN A FINITE HORIZON MODEL WITH BEQUESTS." Bulletin of Economic Research 67, no. 2 (2012): 105–14. http://dx.doi.org/10.1111/j.1467-8586.2012.00456.x.

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24

Ito, Mikio, and Akihiko Noda. "The GEL estimates resolve the risk-free rate puzzle in Japan." Applied Financial Economics 22, no. 5 (2011): 365–74. http://dx.doi.org/10.1080/09603107.2011.613761.

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25

Grant, Simon, and John Quiggin. "The interaction between the equity premium and the risk-free rate." Economics Letters 69, no. 1 (2000): 71–79. http://dx.doi.org/10.1016/s0165-1765(00)00280-9.

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26

Wagenvoort, Rien J. L. M., and Sanne Zwart. "UNCOVERING THE COMMON RISK-FREE RATE IN THE EUROPEAN MONETARY UNION." Journal of Applied Econometrics 29, no. 3 (2013): 394–414. http://dx.doi.org/10.1002/jae.2335.

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27

Van Heerden, Chris. "The Eminence Of Risk-Free Rates In Portfolio Management: A South African Perspective." Journal of Applied Business Research (JABR) 32, no. 2 (2016): 569. http://dx.doi.org/10.19030/jabr.v32i2.9597.

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The traditional Capital Asset Pricing Model (CAPM) suggests that the minimum return required by an investor should be equal to the return of a risk-free asset (Reilly & Brown, 2003), which should be stable (Reilly & Brown, 2006), not influenced by external factors (Harrington, 1987), and certain (Bodie, Kane & Marcus, 2010). Evidence, however, suggests that risk-free asset returns vary (Brunnermeier, 2008), and that “there is really no such thing as a truly riskless asset” (Brigham & Ehrhardt, 2005:312). The pioneering studies of Mehra and Prescott (1985) and Weil (1989) only j

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28

Gyebuni, Richard, Yao Yevenyo Ziggah, and Daniel Mireku-Gyimah. "A Risk-Free Discount Rate Prediction Model for Mineral Project Evaluation Using a Hybrid Discrete Wavelet Transform and Artificial Neural Network." Mathematical Problems in Engineering 2022 (September 26, 2022): 1–13. http://dx.doi.org/10.1155/2022/9984679.

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The discount rate input parameter of Net Present Value (NPV) in mineral project evaluation is a function of a risk-free rate and risk premium component. To obtain a reliable NPV, it is important to estimate each of these components. This study employs a hybrid approach to predict risk-free rate using Discrete Wavelet Transform and Artificial Neural Network (DWT-ANN). The DWT-ANN model was tested using London Interbank Offered Rate (LIBOR) dataset from 1986 to 2020. The results showed that Discrete Wavelet Transform-Radial Basis Function Neural Network (DWT-RBFNN) of the three different hybrid

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29

Aladangady, Aditya, Etienne Gagnon, Benjamin K. Johannsen, and William B. Peterman. "Macroeconomic Implications of Inequality and Income Risk." Finance and Economics Discussion Series 2021, no. 072 (2021): 1–49. http://dx.doi.org/10.17016/feds.2021.073.

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We explore the long-run relationship between income risk, inequality, and the macroeconomy in an overlapping-generations model in which households face uncertain streams of labor income and returns on their savings. To manage those risks, households can apportion their savings to a bond, whose return is safe and identical across households, and a productive asset, whose return is uncertain and can differ persistently across households. We find that greater polarization in households’ labor income and returns on their savings generally accentuates households’ demand for risk-free assets and the

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30

Klemperer, W. David, James F. Cathcart, Thomas Häring, and Ralph J. Alig. "Risk and the discount rate in forestry." Canadian Journal of Forest Research 24, no. 2 (1994): 390–97. http://dx.doi.org/10.1139/x94-052.

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One of the most common ways to account for investment risk is to add a risk premium to the risk-free discount rate when computing present values of expected revenues which are uncertain. Using certainty-equivalent analysis, we show that the correct risk premium for short-term investments can easily be in the commonly used 7-percentage-point range. But for such risk premiums to be appropriate for long-term forestry investments, the necessary certainty-equivalent conditions often seem to be unreasonably restrictive. Results suggest that the appropriate risk premium may decline with lengthening p

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31

DePrince, Jr, Albert, and Pamela Morris. "Transmission of Shocks to LIBOR Risk Spreads and Nominal Risk-Free Rates." Journal of Finance Issues 10, no. 1 (2012): 48–63. http://dx.doi.org/10.58886/jfi.v10i1.2322.

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In this study, effects of shocks to international money market conditions, as measured by the three-month London Interbank Offer Rates (LIBOR) for five financially integrated economies (United States, the euro zone countries, Great Britain, Japan, and Canada) are examined. The sample period runs from January 4, 1999, through December 31, 2010. A fiveequation vector autoregressive (VAR) model is developed using daily risk spreads between each country’s LIBOR and its nominal risk-free rate. Also, effects of the risk spreads on the respective nominal risk-free rates are identified in a separate V

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32

Dobija, Mieczysław, and Jurij Renkas. "Thermodynamic Approach to the Discount Rate and Discounted Cash Flow Method." Risks 11, no. 7 (2023): 118. http://dx.doi.org/10.3390/risks11070118.

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Current theories of the discount rate have a theoretical basis focused on risk; risk-free rate and risk premium. The basic component of the discount rate, the risk-free rate as purely empirical has a natural infirmity which consequently weakens the final theory. Similarly, the risk premium category is not theoretically perfect. The fundamental shortcoming is that the theory of the discount rate does not relate to fundamental knowledge of capital and the natural rate of its potential growth. Therefore, the purpose of the discussion is to justify the discount rate structure with the constant of

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33

Nozari, Milad. "Information content of the risk-free rate for the pricing kernel bound." Journal of Asset Management 22, no. 4 (2021): 267–76. http://dx.doi.org/10.1057/s41260-021-00209-1.

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34

Diana Boskovska, Diana Boskovska. "The free risk rate of return and factors that affect its assessment." IOSR Journal of Business and Management 9, no. 4 (2013): 88–92. http://dx.doi.org/10.9790/487x-0948892.

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35

Hin, Lin Yee, and Nikolai Dokuchaev. "On the implied volatility layers under the future risk-free rate uncertainty." International Journal of Financial Markets and Derivatives 3, no. 4 (2014): 392. http://dx.doi.org/10.1504/ijfmd.2014.062395.

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36

Bianconi, Marcelo, Scott MacLachlan, and Marco Sammon. "Implied volatility and the risk-free rate of return in options markets." North American Journal of Economics and Finance 31 (January 2015): 1–26. http://dx.doi.org/10.1016/j.najef.2014.10.003.

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37

Menkveld, Albert J., Asani Sarkar, and Michel van der Wel. "Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate." Journal of Financial and Quantitative Analysis 47, no. 4 (2012): 821–49. http://dx.doi.org/10.1017/s0022109012000245.

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AbstractMacro announcements change the equilibrium risk-free rate. We find that Treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow after the announcement to discover the full impact. This customer flow informativeness is strongest when analyst macro forecasts are most dispersed. The result holds for 30-year Treasury futures trading in both electronic and open-outcry markets. We further show that intermediaries benefit from privately recognizing informed customer flow, as their own-account trading profitability correlates with custom

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38

Frankfurter, George M., and Wai K. Leung. "FURTHER ANALYSIS OF THE PUT-CALL PARITY IMPLIED RISK-FREE INTEREST RATE." Journal of Financial Research 14, no. 3 (1991): 217–32. http://dx.doi.org/10.1111/j.1475-6803.1991.tb00659.x.

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39

Ludwig, Alexander, and Alexander Zimper. "Biased Bayesian learning with an application to the risk-free rate puzzle." Journal of Economic Dynamics and Control 39 (February 2014): 79–97. http://dx.doi.org/10.1016/j.jedc.2013.11.007.

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40

Lustig, Hanno, and Adrien Verdelhan. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?" American Economic Review 109, no. 6 (2019): 2208–44. http://dx.doi.org/10.1257/aer.20160409.

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We assume that domestic (foreign) agents, when investing abroad, can only trade in the foreign (domestic) risk-free rates. In a preference-free environment, we derive the exchange rate volatility and risk premia in any such incomplete spanning model, as well as a measure of exchange rate cyclicality. We find that incomplete spanning lowers the volatility of exchange rate, increases the risk premia but only by creating exchange rate predictability, and does not affect the exchange rate cyclicality. (JEL E32, F31, F44, G15)

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41

S, Shwetha, and Dr D. Jogish. "A STUDY ON PERFORMANCE EVOLUATION ON EQUITY SCHEME IN SBI MUTUAL FUND IN BENGALURU." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 07, no. 10 (2023): 1–11. http://dx.doi.org/10.55041/ijsrem26619.

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This study examines the performance of 20 SBI Mutual Fund equity schemes over a three-year period, using performance ratios like Sharpe Ratio, Treynor Ratio, and Jensen's Ratio, with Nifty 50 returns as a benchmark. The analysis covers a three-year period from 2020-21 to 2022-23, providing insights into the risk-adjusted returns and market performance of these portfolios. The SBI Contra Fund experienced a return of 2.2903% in 2021-22, with a decrease in volatility and a risk-free rate of 0.071%. The SBI Financial & Banking Service Fund showed a return of 3.953% in 2020-21, with moderate se

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42

Luo, Yulei, Jun Nie, and Eric R. Young. "Ambiguity, Low Risk-Free Rates and Consumption Inequality." Economic Journal 130, no. 632 (2020): 2649–79. http://dx.doi.org/10.1093/ej/ueaa045.

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Abstract Macroeconomists failed to predict the Great Recession, suggesting that the existing macroeconomic models may have been misspecified. Bearing in mind this potential misspecification or ‘model uncertainty’, how do agents’ optimal decisions change? Furthermore, how large are the welfare costs of model misspecification? To shed light on these questions, we develop a tractable continuous-time general equilibrium model to show that a fear of model misspecification reduces both the equilibrium interest rate and the relative inequality of consumption to income, making the model’s predictions

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43

Kamal, Javed Bin. "Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model." Financial Assets and Investing 3, no. 3 (2012): 29–42. http://dx.doi.org/10.5817/fai2012-3-3.

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The paper aims at constructing an optimal portfolio by applying Sharpe’s single index model of capital asset pricing in different scenarios, one is ex ante stock price bubble scenario and stock price bubble and bubble burst is second scenario. Here we considered beginning of year 2010 as rise of stock price bubble in Dhaka Stock Exchange. Hence period from 2005 -2009 is considered as ex ante stock price bubble period. Using DSI (All share price index in Dhaka Stock Exchange) as market index and considering daily indices for the March 2005 to December 2009 period, the proposed method formulates

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44

MAI, JAN-FREDERIK. "PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE." International Journal of Theoretical and Applied Finance 22, no. 06 (2019): 1950032. http://dx.doi.org/10.1142/s0219024919500328.

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Assuming the absence of arbitrage in a single-name credit risk model, it is shown how to replicate the risk-free bank account until a credit event by a static portfolio of a bond and infinitely many credit default swap (CDS) contracts. This static portfolio can be viewed as the solution of a credit risk hedging problem whose dual problem is to price the bond consistently with observed CDSs. This duality is maintained when the risk-free rate is shifted parallel. In practice, there is a unique parallel shift [Formula: see text] that is consistent with observed market prices for bond and CDSs. Th

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45

Palandri, Alessandro. "Risk-free rate effects on conditional variances and conditional correlations of stock returns." Journal of Empirical Finance 25 (January 2014): 95–111. http://dx.doi.org/10.1016/j.jempfin.2013.12.002.

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46

Mukherji, Sandip. "IMPACT OF THE RISK-FREE RATE ON REQUIRED RETURNS AND ALPHAS OF STOCKS." Journal of International Finance and Economics 17, no. 3 (2017): 41–48. http://dx.doi.org/10.18374/jife-17-3.4.

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47

Lally, Martin. "Regulation and the Term of the Risk Free Rate: Implications of Corporate Debt." Accounting Research Journal 20, no. 2 (2007): 73–80. http://dx.doi.org/10.1108/10309610780000691.

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48

Mukherjee, Subhabrata, Dimitrios Papadopoulos, Joseph M. Norris, Mudassir Wani, and Sanjeev Madaan. "Comparison of Outcomes of Active Surveillance in Intermediate-Risk Versus Low-Risk Localised Prostate Cancer Patients: A Systematic Review and Meta-Analysis." Journal of Clinical Medicine 12, no. 7 (2023): 2732. http://dx.doi.org/10.3390/jcm12072732.

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Currently, there is no clear consensus regarding the role of active surveillance (AS) in the management of intermediate-risk prostate cancer (IRPC) patients. We aim to analyse data from the available literature on the outcomes of AS in the management of IRPC patients and compare them with low-risk prostate cancer (LRPC) patients. A comprehensive literature search was performed, and relevant data were extracted. Our primary outcome was treatment-free survival, and secondary outcomes were metastasis-free survival, cancer-specific survival, and overall survival. The DerSimonian–Laird random-effec

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49

Trifonov, Nikolai Yu. "Development of the Risk Accumulation Method for Calculating the Capitalization Rate." Economics of Contemporary Russia, no. 1 (March 29, 2021): 7–14. http://dx.doi.org/10.33293/1609-1442-2021-1(92)-7-14.

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Risk build-up method is the most used for calculating the capitalization rates. With the help of the literature analysis, the origin of this method is considered. The method was based on the relationship between risk and profitability of a stock in exchange trading, proven statistically. Later, when formulating the build-up method, this idea was transferred without any justification to the valuation of enterprises that do not list their securities on stock exchange. In other words, the formulas traditionally used in the application of the build-up method are empirical in nature and not precise

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50

ILOMÄKI, JUKKA. "RISK-FREE RATES AND ANIMAL SPIRITS IN FINANCIAL MARKETS." Annals of Financial Economics 11, no. 03 (2016): 1650011. http://dx.doi.org/10.1142/s2010495216500111.

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We show analytically that animal spirit excess profits for uninformed investors fall (increase) when the risk-free rate rises (falls). In the theoretical analysis, we examine the expected returns of risk-averse, short-lived investors. In addition, we find empirically that the local risk-free rates explain 14% of the changes in the animal spirit excess profits in the global stock markets for the last 29 years when the animal spirits is characterized as a product of the trend-chasing rule.

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