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Implied rates of return, the discount rate effect, and market risk premia
[Arbeitspapier]
Körperschaftlicher Herausgeber
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 ... mehr
"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]... weniger
Thesaurusschlagwörter
Eigenkapital; Ertrag; Trend; Prognose; Varianzanalyse
Klassifikation
Finanzwirtschaft, Rechnungswesen
Freie Schlagwörter
analysts' earnings forecasts; discount rate effect; equity premium puzzle; implied rate of return
Sprache Dokument
Englisch
Publikationsjahr
2010
Erscheinungsort
Braunschweig
Seitenangabe
42 S.
Schriftenreihe
IF Working Paper Series, IF33V3/10
Handle
https://hdl.handle.net/10419/55241
Status
begutachtet
Lizenz
Deposit Licence - Keine Weiterverbreitung, keine Bearbeitung
DatenlieferantDieser Metadatensatz wurde vom Sondersammelgebiet Sozialwissenschaften (USB Köln) erstellt.