A new daily dividend-adjusted index for the Danish stock market, 1985-2002: Construction, statistical properties, and return predictability
| Autor: | Carsten Tanggaard, Klaus Belter, Tom Engsted |
|---|---|
| Rok vydání: | 2005 |
| Předmět: |
Stochastic discount factor
Financial economics Equity premium puzzle Risk premium Economics Asset market returns Mean-reversion and predictability Hansen-Jagannathan bound Business Management and Accounting (miscellaneous) Dividend Capitalization-weighted index Stock market Stock market index Finance Stock (geology) |
| Zdroj: | Belter, K, Engsted, T & Tanggaard, C 2005, ' A new daily dividend-adjusted index for the Danish stock market, 1985-2002: Construction, statistical properties, and return predictability ', Research in International Business and Finance, vol. 19, no. 1, pp. 53-70 . |
| ISSN: | 0275-5319 |
| DOI: | 10.1016/j.ribaf.2004.10.003 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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