Equity premium in Finland from 1912 to 2009

What is it about?

We have collected monthly inflation rates as well as money market (risk-free asset) and stock market returns for Finland. Sample period covers October 1912 (=Helsinki Stock Exchange opened for business) to the end of 2009. Using the difference (stock market return minus risk-free asset return), also known as the equity risk premium, we compare the result with those from the USA and Sweden. The risk premium has been found to comparable to the USA and higher than in Sweden.

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Why is it important?

This paper is one of the very few historical econometric (cliometric) studies of Finnish financial markets. In Nyberg and Vaihekoski (2009, 2010) we started to collect information on the Finnish stock market and ultimately we created a stock market index for Finland. In this paper we have further refined the index and collected some additional data. On the other hand, this paper provides international evidence on equity risk premium and linkages between the markets.