Risk-free interest rate
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Interest rate risk of life insurers: Evidence from accounting data Open
Life insurers are exposed to interest rate risk as their liability side is typically more sensitive to interest rate changes than their asset side. This paper explores why insurers assume this risk using a new accounting‐based method to me…
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The Effects on Investment Behavior of Zero Interest Rate Policy—Evidence From a Roulette Experiment Open
This paper examines the effects of interest rate cuts on investment behavior. The methodology is to simulate investment decision making under different capital costs. The experiment showed that decreasing interest rates encourage risk-taki…
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Optimal Investment Strategy under the CEV Model with Stochastic Interest Rate Open
Interest rate is an important macrofactor that affects asset prices in the financial market. As the interest rate in the real market has the property of fluctuation, it might lead to a great bias in asset allocation if we only view the int…
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Sensitivity, Moment Conditions, and the Risk-Free Rate in Yogo (2006) Open
In this paper we show that results presented in the seminal \npaper by Yogo, A Consumption Based Explanation of Expected \nStock Returns, cannot be replicated. We find different estimates \nfor the parameters and we obtain values of over-i…
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Interest Rate Risk Management using Duration Gap Methodology Open
The world for financial institutions has changed during the last 20 years, and become riskier and more competitive-driven. After the deregulation of the financial market, banks had to take on extensive risk in order to earn sufficient retu…
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Pricing and hedging options in a negative interest rate environment Open
This thesis is about pricing interest rate options in a negative interest rate environment and about pricing foreign exchange barrier options. Conventional interest rate option pricing models are unable to price interest rate options in th…
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Determination of the Risk-free Rate of Return on an Investment Efficiency Based on the Fractal Markets Hypothesis Open
In determining the economic efficiency of an investment project, the rationale and choice of the discount rate is the most difficult step. The methods of investment assessment are built on the rate of return used to discount future cash fl…
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The Impact of Interest Rate Marketization on China’s Commercial Banks and Its Tactics Open
With the advance of market-oriented interest rate, the risk of commercial banks in our country is increasing day by day, including credit risk and interest rate risk. This paper mainly discusses the interest rate risk, and the re-pricing r…
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Portfolio Strategy for an Investor with Logarithm Utility and Stochastic Interest Rate under Constant Elasticity of Variance Model Open
This paper is aim at maximizing the expected utility of an investor’s terminal wealth; to achieve this, we study the optimal portfolio strategy for an investor with logarithm utility function under constant elasticity of variance (CEV) mod…
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Analysis of the Relationship of Risk and Return Using the Capital Asset Pricing Model (CAPM) Method at Kompas 100 for the 2015-2019 Period Open
This research aimed to investigate the relationship between risk and return on Kompas 100 shares using the Capital Asset Pricing Model (CAPM) approach from 2015 to 2019. The sample amounted to 52 companies registered in Kompas 100. This st…
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The Eminence Of Risk-Free Rates In Portfolio Management: A South African Perspective Open
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 influ…
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Zakah Rate In Islamic Stock Performance Models: Evidence From Indonesia Open
There are three models commonly used to measure the performance of Islamicstocks, named Treynor Ratio, Sharpe Ratio, and Jansen Index. One component of the three models is risk-free returns which are usually approached with interest rates,…
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The performance of pension funds: the case of Italy Open
The paper investigates the performance of pension funds with reference to recent innovation in Italian regulation. The aim is to evaluate the choice of Italian workers in terms of risk-return trade off. The reform of complementary pension …
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Research on Stock Return Rate Open
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 r…
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Risk Management for Bonds with Embedded Options Open
This paper examines the behavior of the interest rate risk management measures for bonds with embedded options and studies factors it depends on. The contingent option exercise implies that both the pricing and the risk management of bonds…
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Real Risk-Free Rate, the Central Bank, and Stock Market Bubbles Open
The central bank acts as a social planner, and adjusts the real risk-free rate of return to correct any mispricing in the stock market so that the emergence of positive or negative bubbles is avoided. The analysis shows that the central ba…
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CALCULATION OF CREDITED INTEREST RATE WITH INVESTMENT YEAR METHOD AND PORTFOLIO METHOD Open
The rate of return on investment for unit-linked insurance products in Indonesia is still volatile and depends on the investment instruments performance. However, the net return on investment that is given to policyholders is projected at …
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Determinants of Real Interest Rates: The Case of Jordan Long-Fei Open
The study is aimed at investigating the main factors that affect the interest rate yields, in the long-term. In addition, the study surveys the theories and literature relating to the determinants of interest rate. The importance of which …
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An Investor’s Investment Plan with Stochastic Interest Rate under the CEV Model and the Ornstein-Uhlenbeck Process Open
The aim of this paper is to maximize an investor’s terminal wealth which exhibits constant relative risk aversion (CRRA). Considering the fluctuating nature of the stock market price, it is imperative for investors to study and develop an …
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Thermodynamic Approach to the Discount Rate and Discounted Cash Flow Method Open
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 we…
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Central Bank Intervention, Bubbles and Risk in Walrasian Financial Markets Open
textabstractThe paper investigates the effects of central bank interventions in financial markets, composed of \nasymmetrically-informed rational investors and noise traders. If the central bank suspects a bubble, \nit should lift the real…
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Analysis of the Relationship of Risk and Return Using the Capital Asset Pricing Model (CAPM) Method at Kompas 100 for the 2015-2019 Period Open
This research aimed to investigate the relationship between risk and return on Kompas 100 shares using the Capital Asset Pricing Model (CAPM) approach from 2015 to 2019. The sample amounted to 52 companies registered in Kompas 100. This st…
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Futures Market Approach to Understanding Equity Premium Puzzle Open
In this paper, another factor that affects equity risk premium is derived from a simple classical monetary model, which basically adds back labor-leisure to a simple consumption-only consumption-based asset pricing model. If every present/…
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Research on the Financial Model Selection between Capital Asset Pricing Model, Arbitrage Pricing Model, and Fama-French Model Open
Financial modeling magnifies the importance of various systematic and unsystematic risks occurring in modern finance, which elicits the functionality of the Capital Asset Pricing Model (CAPM) introduced by Sharpe, Lintner, and Treynor. A c…
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Research on the Influence of Turnover Rate on Stock Investment Portfolio Returns Open
Turnover rate refers to the frequency of stock turnover within a certain period of time in the market. It is one of the indicators reflecting the strength of stock liquidity. The higher the turnover rate, the more active the stock trading …
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Financial Liberalization and Managing Interest Rate Risk in China Open
Commercial Banks in the modern society, has the core status. Under today's social environment, interest rate marketization has become the choice of most countries. Commercial Banks also face new risks in this context--interest rate risk. T…
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Risk management and the money multiplier. Open
The conventional model of bank liquidity risk management predicts a negative relation between the risk free rate and the money multiplier. We extend that model to reflect credit, or loan book, risk. We find that credit risk model predicts a …
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Differential Impact of Investor Sentiment on the Capital Asset Pricing Model and Discounted Cash Flows Model Estimates of the Rate of Return on Equity Open
Traditional asset pricing models such as Capital Asset Pricing Model (CAPM) and Discounted Cash Flow (DCF) have been used widely in academics and practice due to their simplicity and popularity. The CAPM is a prescriptive model that descri…
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Risk Management of Commercial Banks under Interest Rate Marketisation Open
In recent years, various countries have embarked on the path of interest rate marketisation to enable the market to determine interest rates autonomously. This paper adopts the method of literature review and literature analysis to investi…
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Evaluation of the Resilience of Real Estate and Property Stocks to Inflation and Interest Rate Uncertainty: Implementation of Two Asset Pricing Models Open
Property stocks are an attractive alternative investment for investors who want passive income. Investors’ decisions focus not only on maximizing returns but also on reducing risk. This study examines the extent to which macroeconomic fact…