Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/55237 
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dc.contributor.authorBreuer, Wolfgangen
dc.contributor.authorFeilke, Franziskaen
dc.contributor.authorGürtler, Marcen
dc.date.accessioned2012-02-08-
dc.date.accessioned2012-02-10T15:38:41Z-
dc.date.available2012-02-10T15:38:41Z-
dc.date.issued2007-
dc.identifier.urihttp://hdl.handle.net/10419/55237-
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
dc.language.isogeren
dc.publisher|aTechnische Universität Braunschweig, Institut für Finanzwirtschaft |cBraunschweigen
dc.relation.ispartofseries|aWorking Paper Series |xFW25V2en
dc.subject.jelG11en
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordanalysts' forecastsen
dc.subject.keywordCAPMen
dc.subject.keywordimplied returnsen
dc.subject.keywordmarket risk premiumen
dc.subject.keywordportfolio optimizationen
dc.subject.keywordreturn estimationen
dc.titleAnalysts' dividend forecasts, portfolio selection, and market risk premia-
dc.typeWorking Paperen
dc.identifier.ppn684920131en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tbsifw:FW25V2en

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