کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10489149 | 937570 | 2005 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 19, Issue 1, March 2005, Pages 53-70
Journal: Research in International Business and Finance - Volume 19, Issue 1, March 2005, Pages 53-70
نویسندگان
Klaus Belter, Tom Engsted, Carsten Tanggaard,