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Technische Universität Braunschweig >
Institut für Finanzwirtschaft, Technische Universität Braunschweig >
Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig >
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http://hdl.handle.net/10419/55237
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| Title: | | Analysts' dividend forecasts, portfolio selection, and market risk premia  |
| 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
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