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| | Risk-free interest rate - Wikipedia, the free encyclopedia |
 | | The risk-free interest rate is the interest rate that it is assumed can be obtained by investing in financial instruments with no risk. | | | Since this interest rate can be obtained with no risk, it is implied that any additional risk taken by an investor should be rewarded with an interest rate higher than the risk-free rate (or with preferential tax treatment; some local government US bonds give below the risk free rate). | | | Though a truly "risk-free" asset exists only in theory, in practice most professionals and academics use short-dated government bonds of the currency in question. |
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http://en.wikipedia.org/wiki/Risk-free_interest_rate
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| | Risk premium - Wikipedia, the free encyclopedia |
| | The risk premium for equities is also called the equity premium. | | | Debt: In terms of bonds it usually refers to the credit spread (the difference between the bond interest rate and the risk-free rate). | | | The return from equity is the dividend yield and capital gains. |
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http://en.wikipedia.org/wiki/Risk_premium
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| | The Financial Environment Interactive Quiz |
| | The default risk and liquidity premiums for this company’s bonds total 0.9 percent and are believed to be the same for all bonds issued by this company. | | | is required for assets with high default risk | | | The inflation rate is expected to be 4 percent a year for the next three years and then 5 percent a year thereafter. |
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http://quizit.swcollege.com/quizit/z_quiz.jsp?quiz_id=379
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| | SCMP.com - Glossary of Financial and Business Terms |
| | A provision governing a municipal revenue project financed by a bond issue which establishes the rates to be charged users of the new facility. | | | The risk free asset is commonly defined as short-term obligations of the U.S. government. | | | The rate at which an investor assumes interest payments made on a debt security can be reinvested over the life of that security. |
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http://special.scmp.com/glossary/bfglosr.html
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| | The "Risk Free" Rate |
| | Since prevailing rates were much higher, the purchase of a prestiti at a 5% rate constituted a kind of tax. | | | In recent years, in the developed nations, short-term rates have almost always been lower than long-term rates, since investors need to be rewarded for the higher interest-rate risk of bonds, due to the risk of serious damage from inflation. | | | The tradeoff between the variability of bill payouts and the interest-rate risk of consols (and their modern reincarnation as long-term bonds) reverses during the 20th century. |
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http://www.indexfunds.com/articles/20011108_Riskfree_adv_md_WB.htm
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| | Session Two: Portfolio Theory |
| | Systematic risk is the variability in all risky assets caused by macroeconomic variables. | | | When an investor invests in more than one asset, the risk of the portfolio depends on how much is invested in each asset (weight), the risk of each individual asset (variance or standard deviation), and how the returns of the assets move together over time. | | | The sources of risk that are specific to an investment include business risk, financial risk, liquidity risk, exchange rate risk, and country risk. |
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http://www2.una.edu/kvrensselaer/Class2.html
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| | Risk Free Rate in Scenario Generator |
| | Since interest rates implied by government treasury bills and bonds are generally accepted as "default-free", they can be treated as risk free. | | | The risk free rate is a theoretical interest rate at which an investment may earn interest without incurring any risk (i.e. | | | All rates are compounded semi-annually, therefore remember to select Bond equivalent yields in the Risk Free Rate Type section. |
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http://www.ggy.com/htmlhelp/axis/30314.htm
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| | On the Relationship Betweem the Market Risk Premium and the Risk-Free Interest Rate |
| | The lack of integratedness between the risk premium and the risk free rate has implications on the construction of the equity risk premium used in the determination of the required rate of return. | | | Their results suggest that for the period 1968-1995, the equity risk premium was in the region of 5 percent, a number that is significantly lower than the average realized equity risk premium. | | | The objective of this paper is to explore the relationship between the equity risk premium and the risk free rate. |
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http://www.westga.edu/~bquest/2004/relationship.htm
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| | FRB: H.15--Selected Interest Rates, Web-Only Daily Update--October 21, 2005 |
| | Prime is one of several base rates used by banks to price short-term business loans. | | | The daily effective federal funds rate is a weighted average of rates on brokered trades. | | | The rate charged for discounts made and advances extended under the Federal Reserve's primary credit discount window program, which became effective January 9, 2003. |
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http://www.federalreserve.gov/releases/H15/update
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| | [No title] |
| | The risk that remains after diversification is market risk, and this risk can be measured by the degree to which a given stock tends to move in relation to the market. | | | If we treat the risk premium, and the risk free rate as constants, the equation is known as the security market line. | | | The higher the required rate of return on risky assets. |
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http://www.ndsu.nodak.edu/instruct/swandal/AGEC346s/afcapmh.htm
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| | RISK PREMIUM AND THE RISK-FREE RATE |
| | Equity risk, small stock risk, bond default risk, and bond horizon risk all have premiums which reward investors with larger average returns for taking such risks. | | | You can also see that the risk premium on bond horizon risk resulted in a higher return for intermediate and long-term government bonds in comparison to short-term Treasury bills. | | | The risk premium is the amount by which the rate of return on a risky investment exceeds the rate of return on a less risky investment. |
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http://www.precision-info.com/newtut/data/-752048102.html
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| | Research Projects at RiskLab |
| | The introduction of the regulatory constraints as an additional rationale for risk management, as well as the analysis of how the investment, hedging, and capital budgeting decisions of financial firms are influenced by such an introduction. | | | This project will analyze a bank's risk management decision when the bank is financed with deposits and equity with limited liability. | | | Such risk measures aggregate the amounts of risk of the firm's various business units into a single number, the risk capital. |
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http://www.risklab.ch/Projects.html
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| | The Equity Risk Premium - Part 2 |
| | Recall the three steps of calculating the risk premium: (1) estimate the expected return on stocks, (2) estimate the expected return on safe bonds and (3) subtract the difference to get the equity risk premium. | | | The equity risk premium is a long-term prediction of how much the stock market will outperform safe bonds. | | | In Part 1 of this series, we introduce the equity risk premium - the extra return you can expect from stocks above a safe bond investment - and we looked at the different models used to estimate the premium. |
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http://www.investopedia.com/articles/04/020404.asp
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| | 1 |
| | The relevant risk measure for an individual risky asset is: | | | The expected Rate of Return for a risky asset is determined by: | | | A stock selling for $50 now that is expected to increase in price to $55 by year end and pay a $1 dividend would be considered _______________ if it had a bata of 0.7, the expected market return is 15 percent, and the risk-free rate is 8 percent. |
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http://www.csulb.edu/~pammerma/Reilly/test2questions1.htm
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| | The Real Risk-Free Rate of Interest, k* |
| | The rate of interest that would exist on default-free U. Treasury securities if no inflation were expected |
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http://www.cameron.edu/~sivarama/beschap2/tsld028.htm
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| | Risk Free Rate definition |
| | Risk-free rate is the rate of return available in the market which one can get with certainity on an investment without any risk being involved. | | | Valuation of assets based on liquidity does not yield better results if the fair market value of assets is in excess of value of its assets on a liquidated basis. | | | Risk Free Rate: Business Valuation / How much is my Business Worth? |
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http://www.hjventures.com/valuation/Risk-Free-Rate.html
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| | "Risk-free rate" Definition |
| | Risk-free rate : the rate earned on a riskless asset. | | | Risk-free rate - The rate earned on a riskless asset. |
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http://dictionary.itlocus.com/r/risk_free_rate.html
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| | Safe Haven Return of the Risk Premium |
| | The Equity Risk Premium represents the additional return demanded by an investor to own equity over and above what is considered to be a risk free interest rate. | | | It is used in valuation models as a discount rate to determine the current (present) value of a future stream of earnings. | | | Therefore, current assumptions about any such eternally lower Equity Risk Premiums ought to be reconsidered… quickly, for it appears that the "invisible hand" is anxious to readjust the ERP all on its own, with or without your help. |
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http://www.safehaven.ca/GIC100200.htm
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| | Sharpe, Treynor, Jensen |
| | Alphas are found in many rating services but are not always developed the same way- so you can't compare an alpha from one service to another. | | | This is the difference between a fund's actual return and those that could have been made on a benchmark portfolio with the same risk- i.e. | | | It measures the returns earned in excess of those that could have been earned on a riskless investment per unit of market risk assumed. |
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http://www.efmoody.com/investments/sharperatio.html
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| | Investing Glossary Expected Return on risky asset probability distribution risk-free rate |
| | Expected return equals some Risk-free rate (generally the prevailing U.S. Treasury Note or Bond rate) Plus a Risk premium (the difference between the historic Market return, based upon a well diversified index such as the S&P 500 and the historic US Treasury bond) multiplied by the Assets beta. | | | Any promotion, promotional rates, and any promotional offers expire as soon as a subscriber's account is deactivated as a result of nonpayment, declined payment, cancellation of service, or any other reason. | | | If you wish to switch product categories and transfer your account to a new product, your first payment will be the difference between your current membership rate and the rate for the new product, prorated according to the amount of time left until your next recurring payment. |
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http://www.marketvolume.com/glossary/e0262.asp
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| | Risk-free Rate |
| | The rate is considered to be without risk in the sense it is backed by the full faith and credit of the US Government. | | | (2) The rate of return available on an investment considered to be essentially without risk. | | | The available rate paid on US Treasury bills, for instance, is typically used as the risk free rate. |
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http://www.russell.com/us/glossary/analytics/risk_free_rate.htm
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| | CiteULike: A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles |
| | The model is capable of producing a low risk-free rate, a high equity premium, and an average positive relationship between maturity and term premium for default-free bonds. | | | The key feature of the model is that some assets other than money play a special role in facilitating transactions, which affects the rate of return that they offer. | | | The model's implications for the joint distribution of asset returns, velocity, inflation, money growth, and consumption growth are also compared to the behavior of these variables in the U.S. economy. |
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http://www.citeulike.org/user/mhinnosaar/article/159590
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| | Risk-free rate |
| | The risk free rate for a given period is taken to be the rate on government bonds over the period. | | | Any other investment should produce greater returns than the risk free rate, with the extra return (the risk premium) reflecting the extra risk involved. | | | The risk free rate is used by the CAPM. |
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http://investmentideas.co.uk/whatis/risk-free-rate
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| | IMF Staff Papers: The properties of the equity premium and the risk-free rate: an investigation across time and ... |
| | IMF Staff Papers: The properties of the equity premium and the risk-free rate: an investigation across time and countries. | | | The properties of the equity premium and the risk-free rate: an investigation across time and countries. | | | In the past five years the excess return of equity over short-term risk-free interest rates has been even larger than in the previous decade and stock... |
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http://www.findarticles.com/p/articles/mi_hb1389/is_200307/ai_n5664450
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| | EconPapers: Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles |
| | With isoelastic preferences but a bivariate three-state Markov switching model for consumption and dividend growth rates, the equity premium is 1.7% for a coefficient of relative risk aversion of 8 and a discount factor of 0.98, while the standard deviations for both the equity premium and the risk-free rate are close to the observed ones. | | | Working Paper: Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles (1993) | | | Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles |
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http://econpapers.repec.org/paper/circirwor/94s-14.htm
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| | Risk-Free Rate |
| | This risk-free rate is lower than the expected return on the risky asset, because any issuer will have to offer a risk-averse investor the expectation of a higher return to induce him to abandon the risk-free asset for an investment with uncertain returns or, say, credit risk. | | | Modern portfolio theory postulates the existence of at least one risky asset and one risk-free asset, usually taken to be Treasury bills or comparable short-term sovereign debt. | | | The risk-free rate is the rate of return on the risk-free asset. |
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http://riskinstitute.ch/00012705.htm
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| | [No title] |
| | Total liabilities as a proxy for assets may be the more appropriate variable in a fully deregulated environment, with free capital flows across borders. | | | Short-term effect if it is simply asset reallocation based on expected rate movements and expected equity returns. | | | Longer-term effects if longer-term shift toward bonds over equity represents a age-driven restructure of portfolios. |
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http://www.mtsu.edu/~deprince/ef6450_2004/efa2000-valuation.ppt
(970 words)
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| | The Equity Premium and the Risk Free Rate: A Cross Country, Cross Maturity Examination |
| | This paper examines the relationship between the equity premium and the risk free rate at three different maturities using post-1973 data for a panel of seven OECD countries. | | | The Equity Premium and the Risk Free Rate: A Cross Country, Cross Maturity Examination | | | "The Equity Premium and the Risk Free Rate: A Cross Country, Cross Maturity Examination," Economics Working Papers 136, Department of Economics and Business, Universitat Pompeu Fabra. |
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http://ideas.repec.org/p/cpr/ceprdp/1119.html
(444 words)
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| | IngentaConnect What will be the risk-free rate and benchmark yield curve followi... |
| | IngentaConnect What will be the risk-free rate and benchmark yield curve followi... | | | As no one sovereign yield curve dominates all others, we find that a composite yield curve, consisting of French, Italian and UK bonds at different maturity points along the yield curve should be the benchmark post EMU. | | | What will be the risk-free rate and benchmark yield curve following European monetary union? |
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http://api.ingentaconnect.com/content/routledg/rafe/2000/00000010/00000001/art00007
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| | Citations: The Equity Premium and the Risk Free Rate: A Cross Country, Cross Maturity Examination - Canova, De Nicol'o ... |
| | Canova, F. and De Nicol'o, G. The Equity Premium and the Risk Free Rate: A Cross Country, Cross Maturity Examination", CEPR working paper 1119. | | | Citations: The Equity Premium and the Risk Free Rate: A Cross Country, Cross Maturity Examination - Canova, De Nicol'o (SMEALSearch) - Pal,Rangaswamy,Giles,Debnath |
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http://smealsearch2.psu.edu/context/3823/0
(87 words)
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| | The Equity Premium and the Risk Free Rate |
| | The Equity Premium and the Risk Free Rate | | | 'The Equity Premium and the Risk Free Rate: Matching the Moments,'Journal of Monetary Economics 31 (February 1993) 21-46(with P.-s. | | | We study a model in which dividends explicitly represent the flow that accrues to the owner of the equity, and they are discounted by the intertemporal marginal rate of substitution defined over consumption. |
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http://people.brandeis.edu/~cecchett/equity.htm
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| | The Equity Premium Puzzle and the Risk-Free Rate Puzzle at Long Horizons |
| | We conclude that the equity premium and risk-free rate puzzles are primarily problems for shorter-horizon returns. | | | The failure of consumption based asset pricing models to match the stochastic properties of the equity premium and the risk-free rate has been attributed by some authors to frictions, transaction costs or durability. | | | We estimate a vector ARCH model that includes the pricing kernel and the equity return, and use the fitted model to assess the model's implications for the equity premium and for the risk-free rate. |
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http://kent.kellogg.northwestern.edu/papers/md.html
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| | Introductory Page to Risk Premium and the Risk-Free Rate |
| | Let's get started by identifying some specific risks in the world of investments. | | | In this tutorial on risk and risk premiums, you will learn about the following topics: | | | Learn even more with the Encyclopedia of Personal Finance. |
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http://www.chatlink.com/~kas/QUICKENW/INET/common/pnf/pi/1_3.htm
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| | [No title] |
| | Rate Rate of interest in money and capital markets Federal Reserve System Long-term or capital market Government securities Federal Constant maturity Twenty-year Not seasonally adjusted Business (Five days, Monday-Friday) -------------------------------------------------------------- NOTE: The 20-year constant maturity estimated by the Department of the Treasury is based on outstanding Treasury bonds with approximately 20 years remaining to maturity. | | | To obtain the constant maturity yields, personnel at treasury construct a yield curve each business day and yield values are then read from the curve at fixed maturities. | | | This series is not identical to the historical 20-year constant maturity series which was based on actual 20-year bonds issued through 1986. |
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http://www.federalreserve.gov/releases/H15/data/b/tcm20y.txt
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| | Risk Free Rate |
| | Assume household mortgage rate is 6%, the interest of government stock is 2%, the interest rate on personal investment is 1% and the inflation rate is 1%. | | | What would be the apprx real risk free rate? |
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http://www.contingencyanalysis.com/archive/archive00-3/0000093e.htm
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| | Equity Premiums Cross |
| | Moreover, regardless of the country, the model generates values for the mean and the standard deviation of the equity premium that are too low to be consistent with the cross-sectional post-Bretton Woods experience. | | | The Equity Premium and the Risk Free Rate: A Cross -Country, Cross-Maturity Examination | | | Since the seminal work of Mehra and Prescott (1985), many authors have modified the basic theoretical model to account for the wide discrepancy between the time series generated by a complete markets Arrow-Debreu economy and the data. |
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http://www.cepr.org/pubs/Bulletin/dps/dp1119.htm
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| | risk_free_rate |
| | The risk free rate, or cost of funds | | | The risk free rate in the US is generally the short term T-Bill rate. |
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http://www.tipsinc.com/doc/risk_free_rate.htm
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| | Risk free rate of zero |
| | I understand that the holder of a straddle is long volatility, but intuitively, what's the value of being long vol if the forward price is the same as the current price? | | | If the risk-free rate is zero, is it true that the aggregate price of a "straddle" (i.e., put and call struck at the money) will be the same regardless of maturity? |
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http://www.in-the-money.com/_disc3/00000049.htm
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| | Risk Free Interest Rate - finance |
| | Describes return available to an investor in a security somehow guaranteed to produce that return. | | | The risk-free interest rate compensates the investor for the temporary sacrifice of consumption. |
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http://www.comparedefinitions.com/finance/risk-free-interest-rate.html
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| | Risk Free Rate |
| | September Risk Free Rates are included in the new version. | | | Zero Coupon Interest Rates from 12-1-03 to 12-31-03"Updated" | | | Zero Coupon Interest Rates from 08-1-05 to 08-31-05 |
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http://www.option123.com/riskfree.htm
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| | The Equity Premium and the Risk Free Rate: Matching the Moments |
| | The Equity Premium and the Risk Free Rate: Matching the Moments | | | "The equity premium and the risk-free rate : Matching the moments," Journal of Monetary Economics, Elsevier, vol. | | | More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html. |
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http://www.ideas.uqam.ca/ideas/data/Papers/nbrnberwo3752.html
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| | Error: content not found |
| | ACCC rural and regional program; ACCC supporter network; Competing Fairly Forum; Free business newsletter; Your business and the Trade Practices Act; Small business program. | | | The standard has been introduced to minimise the injury risk to children in walkers falling down stairs or tipping over, as well as specific marking requirements. | | | A range of safety requirements based on a US standard ASTM F977-00. |
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http://www.accc.gov.au/content/index.phtml/itemId/332450
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| | Risk-free rate |
| | The problem I'm having is that although I have read that the risk-free rate has to be equivalent to the t-bill or zero rate at the option expiration date, the Black-Scholes model talks about a generic interest-rate, r, rather than a rate that is time-dependent (there's usually no subsript, t, attached to the rfr). | | | Could it be that while Black-Scholes uses a fixed rfr, the Merton model will use a stochastic rate (the zero rate with a maturity equivalent to the option expiration) and in practice the Merton model is used (without making the volatility stochastic)? | | | Are the risk-free rates used to value them going to be the same or not? |
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http://www.contingencyanalysis.com/archive/archive01-1/00000b85.htm
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| | Rho |
| | Hull (2002) describes rho in the context of financial engineering. | | | is a small change in the risk-free rate, and | | | It measures a portfolio's linear exposure to changes in the risk-free interest rate. |
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http://www.riskglossary.com/articles/rho.htm
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