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

Wolfgang Breuer, Franziska Feilke and Marc Gürtler

No FW25V2, Working Papers from Technische Universität Braunschweig, Institute of Finance

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.

Keywords: analysts' forecasts; CAPM; implied returns; market risk premium; portfolio optimization; return estimation (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/55237/1/684920131.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:tbsifw:fw25v2

Access Statistics for this paper

More papers in Working Papers from Technische Universität Braunschweig, Institute of Finance Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().