Macroeconomic Perspectives on Stock and Bond Investments in Denmark since the First World War

Steen Nielsen and Ole Risager

Chapter 3 in Macroeconomic Perspectives on the Danish Economy, 1999, pp 66-105 from Palgrave Macmillan

Abstract: Abstract The purpose of this chapter is first to characterize the return–risk characteristics of Danish stocks and bonds in the period 1920–95. On the basis of the descriptive background we analyze whether the size and development of asset returns can be explained by the Consumption–CAPM, which has become a popular asset pricing model in recent years. We also briefly discuss whether the existing upper limits on Danish pension funds’ stock investments are reasonable in view of our results on the return–risk characteristics of Danish stocks and bonds. Throughout the chapter, we focus on the economics of the stock market rather than on technicalities.

Keywords: Stock Market; Risk Aversion; Stock Return; Dividend Yield; Bond Yield (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-50103-4_3

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DOI: 10.1057/9780230501034_3

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