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 ()
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Klaus Belter: 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: 2003-05-09

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Related works:
Journal Article: A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability (2005)
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