More documents from Breuer, Wolfgang; Gürtler, Marc
Export to your Reference Manger
Please Copy & Paste
Bibtex-Export
Endnote-Export
Page views
this month1
total137
Downloads
this month0
total27
Implied rates of return, the discount rate effect, and market risk premia
[working paper]
Breuer, Wolfgang; Gürtler, Marc
Download full text
(418 KByte)
Citation Suggestion
Please use the following Persistent Identifier (PID) to cite this document:http://hdl.handle.net/10419/55241
Further Details
| Corporate Editor | Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft |
| Abstract | "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." [author's abstract] |
| Keywords | equity; return; trend; prognosis; analysis of variance |
| Classification | Financial Planning, Accountancy |
| Free Keywords | analysts' earnings forecasts; discount rate effect; equity premium puzzle; implied rate of return |
| Document language | English |
| Publication Year | 2010 |
| City | Braunschweig |
| Page/Pages | 42 p. |
| Series | IF Working Paper Series, IF33V3/10 |
| Licence | Deposit Licence - No Redistribution, No Modifications |
| data provider | This metadata entry was indexed by the Special Subject Collection Social Sciences, USB Cologne |
