We estimate a well-specified two-state regime-switching model for Danish stock returns. The <p> model identifies two regimes which have low return-low volatility and high return-high <p> volatility, respectively. The low return-low volatility regime dominated, except in a few, short <p> episodes, until...</p></p></p>

Using annual data over the post-World War I-period, we estimate a fundamentals-based <p> empirical model for the dividend-price ratio of Danish stocks. The key fundamentals-variable <p> is a time-varying discount rate, decomposed into time-varying measures for the growth-adjusted <p> real interest rate...</p></p></p>

Using annual data over the post-World War I-period, we estimate a fundamentals-based empirical model for the dividend-price ratio of Danish stocks. The key fundamentals-variable is a time-varying discount rate, decomposed into time-varying measures for the growth-adjusted real interest rate and...

Using Danish data for the post-World War II-period, we estimate a simple model for the long-run behavior of stock prices. We find a stable and strong cointegrating relation between stock prices and two macroeconomic "fundamentals" variables, firm profits and the nominal bond rate. Both...