Jan Overgaard Olesen and Ole Risager
Additional contact information
Jan Overgaard Olesen: 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 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 estimate strong cointegrating relations at both horizons. Hence, at the 5- and 10-
year investment horizons a high bond yield tends to go hand in hand with a high stock return,
and vice versa. Results show that stock returns tend to respond less than one-to-one to
changes in the bond yield.
Keywords: stock returns; Bond yields; Denmark
22 pages, February 1, 2000
Full text files
x648099309.pdf
Questions (including download problems) about the papers in this series should be directed to Lars Nondal ()
Report other problems with accessing this service to Sune Karlsson ().
RePEc:hhs:cbsnow:2000_004This page generated on 2024-09-13 22:19:22.