Scandinavian Working Papers in Economics

Working Papers,
Copenhagen Business School, Department of Economics

No 03-2001: STOCK RETURNS AND BOND YIELDS IN DENMARK, 1922-99

Steen Nielsen and Ole Risager
Additional contact information
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

Abstract: 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 of capital flows. On the other hand, Danish bond yields are high in general, and in particular from the late 1960s to the mid 1980s. Thus, there are several periods in which bonds have given higher returns than stocks. Over the entire sample, however, equity clearly outperforms bonds.

Keywords: Stock market; Bond Yields; Denmark

JEL-codes: G00

36 pages, May 14, 2001

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