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Stock Returns And Bond Yields In Denmark, 1922-99


  • Nielsen, Steen

    (Department of Economics, Copenhagen Business School)

  • Risager, Ole

    (Department of Economics, Copenhagen Business School)


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.

Suggested Citation

  • Nielsen, Steen & Risager, Ole, 2001. "Stock Returns And Bond Yields In Denmark, 1922-99," Working Papers 03-2001, Copenhagen Business School, Department of Economics.
  • Handle: RePEc:hhs:cbsnow:2001_003

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    References listed on IDEAS

    1. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    2. 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 222-227, May.
    3. 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 246-273, April.
    4. 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, April.
    5. 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.
    6. 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.
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    Cited by:

    1. 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.

    More about this item


    Stock market; Bond Yields; Denmark;

    JEL classification:

    • G00 - Financial Economics - - General - - - General


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