Selecting the Ideal Risk-Free Rate Proxy for the South African Market

Chris van Heerden ()

The African Finance Journal, 2021, vol. 23, issue 2, 1-21

Abstract: Studies have shown that “there is really no such thing as a truly riskless asset” (Brigham and Ehrhardt, 2005:312), which can lead to errors in performance measurement and asset pricing. With the literature lacking the consensus on the validity of the ideal risk-free rate proxy for the South African market, provided the motivation for this study. Of the 44 risk-free rate proxies that were evaluated over a five year period (2016 to 2020), the 6- and 12-month call deposit index and the R197 bond exhibited greater overall compliance with the prerequisites set out in this study.

Keywords: Risk-free rate; South Africa (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
https://journals.co.za/doi/abs/10.10520/ejc-finj_v23_n2_a1 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:23:y:2021:i:2:p:1-21

Access Statistics for this article

More articles in The African Finance Journal from Africagrowth Institute Contact information at EDIRC.
Bibliographic data for series maintained by Kirk De Doncker ().