Equity premium in Finland and long-term performance of the Finnish equity and money markets
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- 作者：Peter Nyberg (1)
Mika Vaihekoski (2) - 关键词：Equity premium ; Stock market ; Money market ; Helsinki Stock Exchange ; NASDAQ OMX ; Finland ; Sweden ; USA ; N24
- 刊名：Cliometrica
- 出版年：2014
- 出版时间：May 2014
- 年：2014
- 卷：8
- 期：2
- 页码：241-269
- 全文大小：1,258 KB
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Mika Vaihekoski (2)
1. Department of Finance, Aalto University School of Business, P.O. Box 1210, 00101, Helsinki, Finland
2. Department of Accounting and Finance, Turku School of Economics (TSE), University of Turku, 20014, Turku, Finland - ISSN：1863-2513
文摘
Using new monthly series collected together for the first time for Finland, this paper analyses the performance and development of the Finnish equity and money markets as well as the equity premium and inflation from 1912 to 2009. The series are analyzed and compared to similar series from Sweden and USA. Continuously compounded nominal returns in Finland have been high, 12.91 and 6.44 % per annum for the stock and money markets, respectively. However, taking into account the high annual average inflation rate of 7.77, the Finnish market has provided clearly lower real returns than the US market. On the other hand, the equity premium, 10.14?% per annum, is found to be comparable to that of the United States (9.35?%) and higher than that in Sweden (6.01?%) using an approach similar to Mehra and Prescott (Handbook of the economics of finance, vol 1B. Financial Markets and Asset Pricing, North Holland, 2003). Finally, our empirical evidence suggests that as the Finnish stock market has matured, it shows an increasing degree of informational efficiency while at the same time becoming more intertwined with international markets.