Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/208426 
Year of Publication: 
2000
Series/Report no.: 
Working paper No. 4-2000
Publisher: 
Copenhagen Business School (CBS), Department of Economics, Frederiksberg
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.
Subjects: 
stock returns
Bond yields
Denmark
JEL: 
E40
G10
G30
H10
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper

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