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

In: Macroeconomic Perspectives on the Danish Economy

Author

Listed:
  • Steen Nielsen
  • Ole Risager

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.

Suggested Citation

  • Steen Nielsen & Ole Risager, 1999. "Macroeconomic Perspectives on Stock and Bond Investments in Denmark since the First World War," Palgrave Macmillan Books, in: Torben M Andersen & Svend E Hougaard Jensen & Ole Risager (ed.), Macroeconomic Perspectives on the Danish Economy, chapter 3, pages 66-105, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-50103-4_3
    DOI: 10.1057/9780230501034_3
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    Cited by:

    1. Nielsen, Steen & Risager, Ole, 2001. "Stock Returns And Bond Yields In Denmark, 1922-99," Working Papers 03-2001, Copenhagen Business School, Department of Economics.

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