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

Arbeitspapier | Working paper

"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]

Object Details

• Extent: Seite(n): 32
• Language: Englisch
• Notes: Status: Veröffentlichungsversion

References and Relationships

• Bibliographic citation: IF Working Paper Series (FW25V2/07)

Classification and Topics

• Subject: Wirtschaft ; Finanzwirtschaft, Rechnungswesen ; Kapitalmarkt ; Kapitalertrag ; Portfolio-Selection ; Risiko

Contributors, Places and Time

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

Further information

• Handle: http://hdl.handle.net/10419/55237
• Last update: 21.06.2024, 4:27 PM CEST