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A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability

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  • Belter, Klaus
  • Engsted, Tom
  • Tanggaard, Carsten

Abstract

We present a new dividend-adjusted blue chip index for the Dan- ish stock market covering the period 1985-2002. In contrast to other indices on the Danish stock market, the index is calcu- lated on a daily basis. In the first part of the paper a detailed description of the construction of the index is given. In the sec- ond part of the paper we analyze the time-series properties of daily, weekly, and monthly returns, and we present evidence on predictability of multi-period returns. We also compare stock re- turns with the returns on long-term bonds and short-term money market instruments (i.e. the equity risk premium), and we com- pute the Hansen-Jagannathan bound to infer the properties of the underlying stochastic discount factor generating Danish asset returns.

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Bibliographic Info

Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 19 (2005)
Issue (Month): 1 (March)
Pages: 53-70

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Handle: RePEc:eee:riibaf:v:19:y:2005:i:1:p:53-70

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Cited by:
  1. Nyberg , Peter & Vaihekoski, Mika, 2009. "A new value-weighted total return index for the Finnish stock market," Research Discussion Papers 21/2009, Bank of Finland.

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