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

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dc.contributor.authorHe, Zhenen
dc.contributor.authorO’Connor, Fergalen
dc.contributor.authorThijssen, Jaccoen
dc.date.accessioned2024-07-08T15:56:06Z
dc.date.available2024-07-08T15:56:06Z
dc.date.issued2022-10-14en
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, p. 101775. Available at: https://doi.org/10.1016/j.ribaf.2022.101775en
dc.identifier.doihttps://doi.org/10.1016/j.ribaf.2022.101775en
dc.identifier.endpage30en
dc.identifier.issn0275-5319en
dc.identifier.journaltitleResearch in International Business and Financeen
dc.identifier.startpage1en
dc.identifier.urihttps://hdl.handle.net/10468/16106
dc.identifier.volume63en
dc.language.isoenen
dc.publisherElsevieren
dc.relation.ispartofResearch in International Business and Financeen
dc.rights© 2022 Elsevier B.V. This manuscript version is made available under the CC BY-NC-ND 4.0 license.en
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/en
dc.subjectRisk-free asseten
dc.subjectZero-beta asseten
dc.subjectZero-beta CAPMen
dc.subjectGolden
dc.subjectT-billsen
dc.subjectOISen
dc.titleIdentifying proxies for risk-free assets: Evidence from the zero-beta capital asset pricing modelen
dc.typeArticle (peer-reviewed)en
oaire.citation.volume63en
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