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dc.contributor.authorBreuer, Wolfgangen
dc.contributor.authorGürtler, Marcen
dc.date.accessioned2012-02-08-
dc.date.accessioned2012-02-10T15:38:47Z-
dc.date.available2012-02-10T15:38:47Z-
dc.date.issued2010-
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
dc.language.isogeren
dc.publisher|aTechnische Universität Braunschweig, Institut für Finanzwirtschaft |cBraunschweigen
dc.relation.ispartofseries|aWorking Paper Series |xIF33V3en
dc.subject.jelG11en
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordanalysts' earnings forecastsen
dc.subject.keyworddiscount rate effecten
dc.subject.keywordequity premium puzzleen
dc.subject.keywordimplied rate of returnen
dc.titleImplied rates of return, the discount rate effect, and market risk premia-
dc.typeWorking Paperen
dc.identifier.ppn684933373en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tbsifw:IF33V3en

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