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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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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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  • Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003. "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers 03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    • Handle: RePEc:hhb:aarfin:2003_001
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    2. Nyberg, Peter & Vaihekoski, Mika, 2010. "A new value-weighted total return index for the Finnish stock market," Research in International Business and Finance, Elsevier, vol. 24(3), pages 267-283, September.
    3. Gelman, Sergey & Burhop, Carsten, 2008. "Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892–1913," European Review of Economic History, Cambridge University Press, vol. 12(1), pages 39-66, April.
    4. Anne Pedersen & Alex Weissensteiner & Rolf Poulsen, 2013. "Financial planning for young households," Annals of Operations Research, Springer, vol. 205(1), pages 55-76, May.

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