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dc.contributor.authorBreuer, Wolfgangen_US
dc.contributor.authorGürtler, Marcen_US
dc.date.accessioned2012-02-08en_US
dc.date.accessioned2012-02-10T15:38:47Z-
dc.date.available2012-02-10T15:38:47Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/55241-
dc.description.abstractWe show analytically under quite general conditions that implied rates of return based on analysts' earnings forecasts are only a downward biased estimator for future expected one-period returns and therefore not suited for computing market risk premia. The extent of this bias is substantial as verified by a bootstrap approach. We present an alternative estimation equation for future expected one-period returns based on current and past implied rates of return that is superior to simple estimators based on historical returns. The reason for this superiority is a lower variance of estimation results and not the circumvention of the discount rate effect typically stated as a major problem of estimators based on historical return realizations. The superiority of this new approach for portfolio selection purposes is verified numerically for our bootstrap environment and empirically for real capital market data.en_US
dc.language.isogeren_US
dc.publisherInstitut für Finanzwirtschaft, Technische Universität Braunschweig Braunschweigen_US
dc.relation.ispartofseriesWorking papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig IF33V3en_US
dc.subject.jelG11en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordanalysts' earnings forecastsen_US
dc.subject.keyworddiscount rate effecten_US
dc.subject.keywordequity premium puzzleen_US
dc.subject.keywordimplied rate of returnen_US
dc.titleImplied rates of return, the discount rate effect, and market risk premiaen_US
dc.typeWorking Paperen_US
dc.identifier.ppn684933373en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:tbsifw:IF33V3-
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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