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

[working paper]

Breuer, Wolfgang; Feilke, Franziska; Gürtler, Marc

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Please use the following Persistent Identifier (PID) to cite this document:http://hdl.handle.net/10419/55237

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Corporate Editor Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
Abstract "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]
Keywords capital market; investment income; portfolio selection; risk
Classification Financial Planning, Accountancy
Document language English
Publication Year 2007
City Braunschweig
Page/Pages 32 p.
Series IF Working Paper Series, FW25V2/07
Status Published Version
Licence Deposit Licence - No Redistribution, No Modifications
data provider This metadata entry was indexed by the Special Subject Collection Social Sciences, USB Cologne