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Stock Returns And Bond Yields In Denmark, 1922-99

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Author Info

  • Nielsen, Steen

    (Department of Economics, Copenhagen Business School)

  • Risager, Ole

    (Department of Economics, Copenhagen Business School)

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    Abstract

    This paper presents long time series of stock and bond returns for Denmark from 1922 to 1999. Average stock returns are low in an international context, but returns (and volatility) have increased sharply since 1983 which may be explained by major changes in economic policy and liberalizations of capital flows. On the other hand, Danish bond yields are high in general, and in particular from the late 1960s to the mid 1980s. Thus, there are several periods in which bonds have given higher returns than stocks. Over the entire sample, however, equity clearly outperforms bonds.

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    File URL: http://openarchive.cbs.dk/cbsweb/handle/10398/7649
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    Bibliographic Info

    Paper provided by Copenhagen Business School, Department of Economics in its series Working Papers with number 03-2001.

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    Length: 36 pages
    Date of creation: 14 May 2001
    Date of revision:
    Handle: RePEc:hhs:cbsnow:2001_003

    Contact details of provider:
    Postal: Department of Economics, Copenhagen Business School, Solbjerg Plads 3 C, 5. sal, DK-2000 Frederiksberg, Denmark
    Phone: 38 15 25 75
    Fax: 38 15 34 99
    Email:
    Web page: http://www.cbs.dk/departments/econ/
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    Related research

    Keywords: Stock market; Bond Yields; Denmark;

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    References

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    1. Grossman, Sanford J & Shiller, Robert J, 1981. "The Determinants of the Variability of Stock Market Prices," American Economic Review, American Economic Association, vol. 71(2), pages 222-27, May.
    2. Ronald Balvers & Yangru Wu & Erik Gilliland, 2000. "Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies," Journal of Finance, American Finance Association, vol. 55(2), pages 745-772, 04.
    3. Barnes, Michelle & Boyd, John H. & Smith, Bruce D., 1999. "Inflation and asset returns," European Economic Review, Elsevier, vol. 43(4-6), pages 737-754, April.
    4. Kleidon, Allan W, 1986. "Variance Bounds Tests and Stock Price Valuation Models," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 953-1001, October.
    5. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    6. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
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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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