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Descriptive analysis of Finnish equity, bond and money market returns

Author

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  • Nyberg, Peter
  • Vaihekoski, Mika

Abstract

This paper gathers the longest available historical monthly return series for the Finnish equity, bond and money markets as well as inflation. The series are analysed to calculate the statistical characteristics of the returns investors would have received in these markets. We also survey existing literature concerning the history of these markets and review the main developments to facilitate future research on the long-term development of the Finnish markets. Using a new total return stock market index for Finland in an approach similar to Mehra and Prescott (2003), we find the equity premium for Finland to be 10.14 per cent from 1913 to 2009.

Suggested Citation

  • Nyberg, Peter & Vaihekoski, Mika, 2011. "Descriptive analysis of Finnish equity, bond and money market returns," Bank of Finland Research Discussion Papers 14/2011, Bank of Finland.
    • Handle: RePEc:zbw:bofrdp:rdp2011_014
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    File URL: https://www.econstor.eu/bitstream/10419/212193/1/bof-rdp2011-014.pdf
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    References listed on IDEAS

    as
    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. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
    3. Philippe Jorion & William N. Goetzmann, 1999. "Global Stock Markets in the Twentieth Century," Journal of Finance, American Finance Association, vol. 54(3), pages 953-980, June.
    4. repec:zbw:bofrdp:1995_034 is not listed on IDEAS
    5. Sierimo, Carolina & Virén, Matti, 1995. "Financial factors and the macroeconomy," Bank of Finland Research Discussion Papers 34/1995, Bank of Finland.
    6. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887, Elsevier.
    7. repec:zbw:bofrdp:1996_007 is not listed on IDEAS
    8. Mehra, Rajnish & Prescott, Edward C., 2003. "The equity premium in retrospect," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 14, pages 889-938, Elsevier.
    9. repec:zbw:bofrdp:1996_025 is not listed on IDEAS
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    Cited by:

    1. Nyberg, Peter & Vaihekoski, Mika, 2014. "Descriptive analysis of the Finnish stock market: Part II," Bank of Finland Research Discussion Papers 10/2014, Bank of Finland.

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