资产定价模型检验中无风险率的计算

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2009-08-27 DOI:10.2139/ssrn.958471

M. Vaihekoski

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引用次数: 15

摘要

无风险利率是金融理论实证检验中最常用的数据序列之一。本文讨论了利用货币市场工具计算无风险利率的问题，特别是资产定价模型的检验和事件研究。特别注意货币市场工具的期限与受调查的其他资产的期限不匹配的情况。这种情况通常出现在必须计算无风险收益率的期限(例如，一天或一周)比最短的可用市场利率(例如，一个月)短，或可用工具定期发行(例如，每周一次)且期限固定的情况下。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On the Calculation of the Risk Free Rate for Tests of Asset Pricing Models

The risk free rate is one of the most often used data series in empirical tests of financial theories. This paper discusses issues in calculating risk free rates from the money market instruments, especially for tests of asset pricing models and event studies. Special attention is given to situations where the maturity of the money market instruments does not match that of the other assets under investigation. This situation typically arises when one has to calculate risk free rates of return for periods shorter (e.g., a day or a week) than the shortest available market rates (e.g., one month) or when the available instruments are issued periodically (e.g., once a week) with fixed maturity.

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.