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dc.contributor.authorBreuer, Wolfgangen_US
dc.contributor.authorFeilke, Franziskaen_US
dc.contributor.authorGürtler, Marcen_US
dc.description.abstractThe most relevant practical impediment to an application of the Markowitz portfolio selection approach is the problem of estimating return moments, in particular return expectations. We analyze the consequences of using return estimates implied by analysts' dividend forecasts under the explicit notion of taxes and non-flat term structures of interest rates and achieve quite good performance results. As a by-product, these results cast some doubt upon the adequacy of estimating market risk premia with implied returns, because estimation techniques with good performance results are hardly suited to describe market expectations.en_US
dc.publisherInstitut für Finanzwirtschaft, Technische Universität Braunschweig Braunschweigen_US
dc.relation.ispartofseriesWorking papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig FW25V2en_US
dc.subject.keywordanalysts' forecastsen_US
dc.subject.keywordimplied returnsen_US
dc.subject.keywordmarket risk premiumen_US
dc.subject.keywordportfolio optimizationen_US
dc.subject.keywordreturn estimationen_US
dc.titleAnalysts' dividend forecasts, portfolio selection, and market risk premiaen_US
dc.typeWorking Paperen_US
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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