Additional information is available for the following registered author(s):

• Tom Engsted

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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Paper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number 03-1.

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Length: 31 pages
Date of creation: 09 May 2003
Date of revision:
Handle: RePEc:hhb:aarfin:2003_001

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Related research

Keywords: Asset market returns; mean-reversion and predictability; Hansen-Jagannathan bound;

Other versions of this item:

• Article
  • Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2005. "A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability," Research in International Business and Finance, Elsevier, vol. 19(1), pages 53-70, March. [Downloadable!] (restricted)

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This page was last updated on 2009-11-25.