A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability
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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