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

Klaus Belter (), Tom Engsted and Carsten Tanggaard ()
Additional contact information
Klaus Belter: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Tom Engsted: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Carsten Tanggaard: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark

No 03-1, Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies

Abstract: 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.

Keywords: Asset market returns; mean-reversion and predictability; Hansen-Jagannathan bound (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
Date: Written 2003-05-09

Downloads: (external link)
http://www.hha.dk/fin/finance/Research/D03_1.PDF (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this paper

More papers in Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies
Address: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
Contact information at EDIRC.
Series data maintained by Helle Vinbaek Stenholt ().