Arbeitspapier
Implied rates of return, the discount rate effect, and market risk premia
We 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.
- Sprache
-
Deutsch
- Erschienen in
-
Series: Working Paper Series ; No. IF33V3
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
analysts' earnings forecasts
discount rate effect
equity premium puzzle
implied rate of return
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Breuer, Wolfgang
Gürtler, Marc
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Braunschweig, Institut für Finanzwirtschaft
- (wo)
-
Braunschweig
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Breuer, Wolfgang
- Gürtler, Marc
- Technische Universität Braunschweig, Institut für Finanzwirtschaft
Entstanden
- 2010
Ähnliche Objekte (12)
Implied rates of return, the discount rate effect, and market risk premia
Implied rates of return, the discount rate effect, and market risk premia
Smoking, Discount Rates, and Returns to Education
Smoking, discount rates, and returns to education
Subjective Discount Rates, Intergenerational Transfers and the Return to Schooling
A 3.8% discount rate?
Sentimental Discount Rate Shocks
Pricing Kernels and Risk Premia implied in Bitcoin Options
Option implied volatility risks : risk premia and tail risks
Uncertainty premia in REIT returns
Liquidity premia, interest rates and exchange rate dynamics
Interpreting implied risk-neutral densities: the role of risk premia
Implied rates of return, the discount rate effect, and market risk premia
Implied rates of return, the discount rate effect, and market risk premia
Smoking, Discount Rates, and Returns to Education
Smoking, discount rates, and returns to education
Subjective Discount Rates, Intergenerational Transfers and the Return to Schooling
A 3.8% discount rate?
Sentimental Discount Rate Shocks
Pricing Kernels and Risk Premia implied in Bitcoin Options
Option implied volatility risks : risk premia and tail risks
Uncertainty premia in REIT returns
Liquidity premia, interest rates and exchange rate dynamics
Interpreting implied risk-neutral densities: the role of risk premia
Implied rates of return, the discount rate effect, and market risk premia
Implied rates of return, the discount rate effect, and market risk premia
Smoking, Discount Rates, and Returns to Education
Smoking, discount rates, and returns to education
Subjective Discount Rates, Intergenerational Transfers and the Return to Schooling
A 3.8% discount rate?
Sentimental Discount Rate Shocks
Pricing Kernels and Risk Premia implied in Bitcoin Options
Option implied volatility risks : risk premia and tail risks
Uncertainty premia in REIT returns
Liquidity premia, interest rates and exchange rate dynamics