2014

Swedish Stock and Bond Returns, 1856–2012

Reprint No. 2014:32

Author(s): Daniel WaldenströmYear: 2014 Title: Historical Monetary and Financial Statistics for Sweden, Volume II: House Prices, Stock Returns, National Accounts, and the Riksbank Balance Sheet, 1620–2012 Chapter: 6Editor(s): Rodney Edvinsson, Tor Jacobson and Daniel WaldenströmPublisher: Sveriges Riksbank and Ekerlids FörlagCity: Stockholm Pages: 223–292
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Preliminary version

Swedish Stock and Bond Returns, 1856–2012 Daniel Waldenström


This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank discount rates. Annual stock price and returns indices from 1870 are also presented. Altogether, these series comprise the longest financial asset price database for Sweden to date. An important ambition is to provide information about the quality of the financial data, how they are constructed and how they are modified so as to ensure consistency across time. The chapter also outlines the basic institutional and economic framework of the Swedish stock and money markets. Research has shown that asset prices are influenced by the extent of trading activity as well as by the legal setting and microstructural characteristics. Finally, the chapter offers some initial analysis of the new evidence: calculation of returns for different periods, examination of trends and trend breaks in returns, dividends, volatility and cross-country returns correlations, and computation of equity risk premia across holding periods and historical eras.


Reference:
Waldenström, Daniel (2014), "Swedish Stock and Bond Returns, 1856–2012". Chapter 6, pp. 223–292 in Rodney Edvinsson, Tor Jacobson and Daniel Waldenström, eds., Historical Monetary and Financial Statistics for Sweden, Volume II: House Prices, Stock Returns, National Accounts, and the Riksbank Balance Sheet, 1620–2012 . Stockholm: Sveriges Riksbank and Ekerlids Förlag.

Daniel Waldenström

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