EconStor >
Technische Universität Braunschweig >
Institut für Finanzwirtschaft, Technische Universität Braunschweig >
Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/55237
  
Title:Analysts' dividend forecasts, portfolio selection, and market risk premia PDF Logo
Authors:Breuer, Wolfgang
Feilke, Franziska
Gürtler, Marc
Issue Date:2007
Series/Report no.:Working papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig FW25V2
Abstract:The 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.
Subjects:analysts' forecasts
CAPM
implied returns
market risk premium
portfolio optimization
return estimation
JEL:G11
G12
G14
Document Type:Working Paper
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

Files in This Item:
File Description SizeFormat
684920131.pdf231.02 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/55237

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.