Arbeitspapier

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

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.

Language
Deutsch

Bibliographic citation
Series: Working Paper Series ; No. FW25V2

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

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

Handle
Last update
10.03.2025, 11:43 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Breuer, Wolfgang
  • Feilke, Franziska
  • Gürtler, Marc
  • Technische Universität Braunschweig, Institut für Finanzwirtschaft

Time of origin

  • 2007

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