English, Article edition: THE SYSTEMATIC RISK OF DEBT: AUSTRALIAN EVIDENCE * KEVIN DAVIS

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/166909
Physical Description
  • article
Language
  • English

Edition details

Title
  • THE SYSTEMATIC RISK OF DEBT: AUSTRALIAN EVIDENCE *
Author
  • KEVIN DAVIS
Physical Description
  • article
Notes
  • This paper examines systematic risk (betas) of Australian government debt securities for the period 1979-2004 and makes three contributions to academic research and practical debate. First, the empirical work provides direct evidence on the systematic risk of government debt, and provides a benchmark for estimating the systematic risk of corporate debt which is relevant for cost of capital estimation and for optimal portfolio selection by asset managers such as superannuation funds. Second, analysis of reasons for non-zero (and time varying) betas for fixed income securities aids understanding of the primary sources of systematic risk. Third, the results cast light on the appropriate choice of maturity of risk free interest rate for use in the Capital Asset Pricing Model and have implications for the current applicability of historical estimates of the market risk premium. Debt betas are found to be, on average, significantly positive and (as expected) closely related, cross sectionally, to duration. They are, however, subject to significant time series variation, and over the past few years the pre-existing positive correlation between bond and stock returns appears to have vanished. Copyright Blackwell Publishing Ltd/​ University of Adelaide and Flinders University 2005..
  • RePEc:bla:ausecp:v:44:y:2005:i:1:p:30-46
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment