The Value Premium on the Danish Stock Market

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The Value Premium on the Danish Stock Market

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dc.contributor.author Risager, Ole
dc.date.accessioned 2010-12-03
dc.date.accessioned 2011-01-26T10:55:24Z
dc.date.available 2011-01-26T10:55:24Z
dc.date.issued 2011-01-26
dc.identifier.uri http://hdl.handle.net/10398/8241
dc.description.abstract A number of influential studies have documented a considerable value premium for US stocks over long periods of time. Value stocks, defined as companies that trade at low price-earnings or price-book values, are reported to have given a higher mean return than growth stocks trading at high multiples. Outside the US, there is also robust evidence of a value premium for the UK, but otherwise the evidence is more uncertain due to data shortages. Studies of continental European and Asian markets are, for example, based on data that typically only covers 20 years of market history. The purpose of this paper is to report evidence for the Danish market using a consistent data set that extends over the period 1950-2008. On the basis of these data the paper investigates whether the value premium is a stylized fact or just a phenomenon that pops up every few decades only to disappear again. The results show that the Danish value premium exists and is significant over the long run. However, this paper also shows that the premium is not a simple constant but is volatile even across decades. en_US
dc.format.extent 25 en_US
dc.language eng en_US
dc.publisher Center for International Business and Emerging Markets en_US
dc.relation.ispartofseries CIBEM Working Paper Series;September 2010
dc.subject.other Value and growth stocks en_US
dc.subject.other total returns en_US
dc.subject.other dividend and capital gains en_US
dc.title The Value Premium on the Danish Stock Market en_US
dc.type wp en_US
dc.accessionstatus modt11jan26 lbjl en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for International Økonomi og Virksomhedsledelse en_US
dc.contributor.departmentshort INT en_US
dc.contributor.departmentuk Department of International Economics and Management en_US
dc.contributor.departmentukshort INT en_US
dc.idnumber x656703368 en_US
dc.publisher.city Frederiksberg en_US
dc.publisher.year 2010 en_US
dc.title.subtitle 1950-2008 en_US


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