Risk Measurement Service

Researchers interested in determining cost of capital or hurdle rates for Australian equity will be pleased to know SIRCA can now deliver systematic risk or beta estimates for Australia over a long history.

The Risk Measurement Service (RMS) is a quarterly subscription service that started in 1983 when it was created and produced by the Centre for Research in Finance (CRIF) at the Australian Graduate School of Management (AGSM) in the University of New South Wales (UNSW). After also being produced within the Australian School of Business (ASB) at UNSW, the RMS continues today at SIRCA.

Electronic versions of the RMS are available from 1987. These contain systematic risk or beta estimates for any company with listed fully paid shares and a sufficiently long trading history to form estimates. Beta estimates are provided both for individual companies/trusts and for broader industry and sector categories. RMS beta estimates are determined from an excess return implementation of the Capital Asset Pricing Model (CAPM) over rolling 48 month estimation windows.

The RMS is ideally suited to researchers interested in estimating cost of equity capital, or gauging investment risk for shareholders, or in adjusting portfolio investments to prepare for anticipated market fluctuations. Its long and respected history makes the RMS an important resource for researchers interested in assessing perceptions of risk in the past, or determining equity capital costs from a previous era.

Researchers interested in learning more about the RMS should contact SIRCA directly at sirca@sirca.org.au.