Identifying proxies for risk-free assets: Evidence from the zero-beta capital asset pricing model

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dc.check.date14/10/2025
dc.contributor.authorHe, Zhen
dc.contributor.authorO'Connor, Fergal
dc.contributor.authorThijssen, Jacco
dc.date.accessioned2022-10-26T11:43:07Z
dc.date.available2022-10-26T11:43:07Z
dc.date.issued2022-10-14
dc.date.updated2022-10-26T11:20:16Z
dc.description.abstractThis research offers the first analysis of whether gold, T-bills, Overnight Index Swaps (OIS) or Interbank Offered Rates (IBOR) can be used as proxy for the risk-free asset in the UK, US, China, Japan and India. Using Blacks (1972) Zero-Beta CAPM we apply Wald and Likelihood Ratio Tests to assess whether gold, T-bills, OIS or IBOR qualify as Zero-Beta or risk free assets against each company in FTSE 350, S&P 500, SSE 180, NIKKEI 225 and SENSEX. We find that gold is a proxy for the risk-free asset in the UK and China; T-bills are a proxy for risk-free assets in Japan and IBOR is a proxy for the risk-free rate in China. None qualify as risk free for the US market. According to our results, there is no universal risk-free asset for the UK, US, China, Japan and India.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.articleid101775en
dc.identifier.citationHe, Z., O'Connor, F. and Thijssen, J. (2022) 'Identifying proxies for risk-free assets: Evidence from the zero-beta capital asset pricing model', Research in International Business and Finance, 63, 101775 (30pp). doi: 10.1016/j.ribaf.2022.101775en
dc.identifier.doi10.1016/j.ribaf.2022.101775en
dc.identifier.eissn1878-3384
dc.identifier.endpage30en
dc.identifier.issn0275-5319
dc.identifier.journaltitleResearch in International Business and Financeen
dc.identifier.startpage1en
dc.identifier.urihttps://hdl.handle.net/10468/13787
dc.identifier.volume63en
dc.language.isoenen
dc.publisherElsevier B.V.en
dc.relation.urihttps://doi.org/10.1016/j.ribaf.2022.101775
dc.rights© 2022, Elsevier B.V. All rights reserved. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/en
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/en
dc.subjectGolden
dc.subjectOISen
dc.subjectRisk-free asseten
dc.subjectT-billsen
dc.subjectZero-beta asseten
dc.subjectZero-beta CAPMen
dc.titleIdentifying proxies for risk-free assets: Evidence from the zero-beta capital asset pricing modelen
dc.typeArticle (peer-reviewed)en
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