AFKAST OG RISIKO VED AKTIEINVESTE-RINGER PÅ KORT OG LANG SIGT

Steen Nielsen and Ole Risager
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Steen Nielsen: Department of Economics, Copenhagen Business School, Postal: Department of Economics, Copenhagen Business School, Solbjerg Plads 3 C, 5. sal, DK-2000 Frederiksberg, Denmark
Ole Risager: Department of Economics, Copenhagen Business School, Postal: Department of Economics, Copenhagen Business School, Solbjerg Plads 3 C, 5. sal, DK-2000 Frederiksberg, Denmark

No 02-2001, Working Papers from Copenhagen Business School, Department of Economics

Abstract: Dette papir beskriver afkast og risici ved investering i det danske aktiemarked over

en lang historisk periode. Det er almindeligt kendt, at aktier giver et højt gennemsnitligt afkast

sammenlignet med obligationer mod til gengæld at være mere risikable på kort sigt. Derimod er

det mere kontroversielt, om risikoen ved langsigtede aktieinvesteringer stiger fuldt ud ligeså

meget som det forventede afkast. Papiret indeholder resultater, der viser, at gode aktieår i

Danmark har tendens til at efterfølges af dårlige år og omvendt. På grund af denne tendens til

mean reversion er aktieinvestering gunstigere for en investor med lang horisont end for én med

kort horisont. Mean reversion-fænomenet er desuden mere udpræget i Danmark end i f. eks. USA.

Keywords: Aktieinvestering (search for similar items in EconPapers)
JEL-codes: A00 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2001-02-01
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