Arbeitspapier | Working paper
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." [author's abstract]
- Umfang
-
Seite(n): 32
- Sprache
-
Englisch
- Anmerkungen
-
Status: Veröffentlichungsversion
- Erschienen in
-
IF Working Paper Series (FW25V2/07)
- Thema
-
Wirtschaft
Finanzwirtschaft, Rechnungswesen
Kapitalmarkt
Kapitalertrag
Portfolio-Selection
Risiko
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Breuer, Wolfgang
Feilke, Franziska
Gürtler, Marc
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
- (wo)
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Deutschland, Braunschweig
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Breuer, Wolfgang
- Feilke, Franziska
- Gürtler, Marc
- Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
Entstanden
- 2007
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