Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/208445 
Year of Publication: 
2000
Series/Report no.: 
Working paper No. 5-2001
Publisher: 
Copenhagen Business School (CBS), Department of Economics, Frederiksberg
Abstract: 
This paper analyzes whether, and to what extent, the Danish 1, 5 and 10-year equity premia are predictable. We examine the predictive power of a comprehensive list of financial ratios, interest rates and so forth. The results show that the 5-year premium is predictable in the sense that the model explains a non-trivial proportion of the variability of the equity premium. Moreover, the model is good at predicting turning points in the premium. We also analyze the portfolio implications of the model and find that the model is useful in predicting the optimal return maximizing portfolio choice. Finally, the paper presents forecasts for the 5-year equity premium.
Subjects: 
equity premia
interest rates
portfolio choice
Denmark
JEL: 
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.