Analysts' dividend forecasts, portfolio selection, and market risk premia

Arbeitspapier

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.

Object Details

• Language: Deutsch

References and Relationships

• Bibliographic citation: Series: Working Paper Series ; No. FW25V2

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: analysts' forecasts ; CAPM ; implied returns ; market risk premium ; portfolio optimization ; return estimation

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Breuer, Wolfgang ; Feilke, Franziska ; Gürtler, Marc
• Event: Veröffentlichung
• (who): Technische Universität Braunschweig, Institut für Finanzwirtschaft
• (where): Braunschweig
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/55237
• Last update: 10.03.2025, 11:43 AM CET