This paper contributes to the growing literature on mean reversion in stock markets by examining a newly constructed Danish data set for the period 1922-95. Variance ratio tests clearly reject the random walk hypothesis at the 2-year horizon, that is, the riskiness of a 2- year investment is...

Over the last 25 years the Danish economy has had difficulties in growing as fast as other EU countries and the United States. While the average growth difference is small, it signals that if this trend persists into the next century, Denmark will not be able to maintain its high position in the...

Med afsæt i et historisk lavt dividende-pris (D-P) forhold har Tom Engsted & Carsten Tanggaard prædikteret, at det danske aktiemarked vil falde med 50 % i.f.t niveauet i 1996, idet en tilbagevenden af D-P ratioen til det historiske gennemsnit hævdes primært at komme i stand via styrtdykkende...

This paper analyzes the consequences of pursuing a less activist Government employment stabilization policy strategy in Egypt. On the basis of a fairly stylized model we find that a reduction of the Government’s involvement in the economy along with an introduction of mild but binding firing...

This short paper studies the empirical relationship between realized stock returns and bond yields at the 5- and 10-year investment horizons, respectively. Using annual Danish data since 1927, we find that stock returns and bond yields are closely linked in the medium and long term, as we...

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...

This paper presents long time series of stock and bond returns for Denmark from 1922 to 1999. Average stock returns are low in an international context, but returns (and volatility) have increased sharply since 1983 which may be explained by major changes in economic policy and liberalizations...