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Analysts' dividend forecasts, portfolio selection, and market risk premia
[working paper]
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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
... view more
"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]... view less
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
Handle
https://hdl.handle.net/10419/55237
Status
Published Version; reviewed
Licence
Deposit Licence - No Redistribution, No Modifications
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