The Interest Rate Component of Systematic Risk
The Interest Rate Component of Systematic Risk
复制标题
系统性风险的利率组成部分
DOI：
10.1177/0148558x9000500409
复制
发表时间：
1990
期刊：
影响因子：
--
通讯作者：
L. Gould
中科院分区：
文献类型：
--
作者：
D. A. Gordon;M. Gordon;L. Gould
长期利率的变化似乎是普通股系统性风险的重要来源，但迄今为止的实证结果非常令人失望。大多数情况下，这些结果是通过将利率变量（例如长期债券的持有期回报 (HPR)）添加到市场模型中的模型获得的。本文研究了两种替代模型，其中自变量是市场上的 HPR 和长期债券的不同线性组合。人们发现替代模型在理论上和经验上都更优越。在对多个时期的大量公用事业和工业股票进行的测试中，理论上最具吸引力的模型产生的利率贝塔对于所有公用事业股票和很大一部分工业股票都非常显着。
Changes in the long-term interest rate would seem to be an important source of systematic risk for common shares, but the empirical results to date have been very disappointing. For the most part these results have been obtained with a model where an interest rate variable, say the holding period return (HPR) on a long bond, is added to the market model. This paper examines two alternative models in which the independent variables are different linear combinations of the HPRs on the market and a long bond. The alternative models are found to be superior theoretically and empirically. In tests on a large number of utility and industrial shares over a number of periods, the most attractive model theoretically produces interest rate betas that are highly significant for all utility shares and a very large fraction of the industrial shares.