1 Department of Business Studies, Aarhus School of Business, Aarhus BSS, Aarhus University2 Finance Research Group, Aarhus School of Business, Aarhus BSS, Aarhus University3 unknown4 Department of Economics and Business Economics, Aarhus BSS, Aarhus University5 Department of Economics and Business Economics, Aarhus BSS, Aarhus University
We present a new dividend-adjusted blue chip index for the Danish stock market covering the period 1985-2002. In contrast to other indices on the Danish stock market, the index is calculated on a daily basis. In the first part of the paper a detailed description of the construction of the index is given. In the second 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 returns with the returns on long-term bonds and short-term money market instruments (that is, the equity risk premium), and we compute the Hansen-Jagannathan bound to infer the properties of the underlying stochastic discount factor generating Danish asset returns.
Research in International Business and Finance, 2005, Vol 19, Issue 1, p. 53-70
Asset market returns; Mean-reversion and predictability; Hansen-Jagannathan bound