Mika Vaihekoski's paper published in Cliometrica (2014)
Paper “Equity Premium in Finland and Long-Term Performance of the Finnish Equity and Money Markets” by Peter Nyberg (Aalto University School of Business) and Mika Vaihekoski has been published in Cliometrica, 2014, 8, 2, 241-269.
Abstract
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.
Information
Article is available here. Mika Vaihekoski is Professor of Finance at the Department of Accounting and Finance. More information is available here.