IDEAS home Printed from https://ideas.repec.org/a/afj/journl/v23y2021i2p1-21.html
   My bibliography  Save this article

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

Author

Listed:
  • Chris van Heerden

    (North-West University)

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.

Suggested Citation

  • Chris van Heerden, 2021. "Selecting the Ideal Risk-Free Rate Proxy for the South African Market," The African Finance Journal, Africagrowth Institute, vol. 23(2), pages 1-21.
    • Handle: RePEc:afj:journl:v:23:y:2021:i:2:p:1-21
    as

    Download full text from publisher

    File URL: https://journals.co.za/doi/abs/10.10520/ejc-finj_v23_n2_a1
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Risk-free rate; South Africa;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:afj:journl:v:23:y:2021:i:2:p:1-21. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk De Doncker (email available below). General contact details of provider: https://edirc.repec.org/data/afrgrza.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.