Analysts’ Dividend Forecasts, Portfolio Selection, and Market Risk Premia

The most relevant practical impediment to an application of the Markowitz portfolio selectionapproach is the problem of estimating return moments, in particular return expectations. We analyzethe consequences of using return estimates implied by analysts’ dividend forecasts under the explicitnotion of taxes and non-flat term structures of interest rates and achieve quite good performance results.As a by-product, these results cast...

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Year of publication:	2007-02-22
Authors:	Breuer, Wolfgang ; Feilke, Franziska ; Gürtler, Marc
Institutions:	Institut für Finanzwirtschaft <Braunschweig>
Subject:	Capital-Asset-Pricing-Modell \| Portfolio Selection \| Prognose \| Risikoprämie

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Extent:	233472 bytes 32 p. application/pdf
Series:	Technische Univerisät Braunschweig - Institut für Finanzwirtschaft - Working Papers Working Paper Series ; FW 25V2/07
Type of publication:	Book / Working Paper
Language:	English
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; Market research ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005869517