Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10013340914
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...
Persistent link: https://www.econbiz.de/10010307943
Persistent link: https://www.econbiz.de/10003944995
We consider investors with mean-variance-skewness preferences who aim at selecting one out of F different funds and combining it optimally with the riskless asset and direct stock holdings. Direct stock holdings are either exogenously or endogenously determined. In our theoretical section, we...
Persistent link: https://www.econbiz.de/10009486445
Persistent link: https://www.econbiz.de/10003804651
Persistent link: https://www.econbiz.de/10001138734
The article proposes to apply the global CAPM instead of the traditional CAPM (local CAPM) used in the practice of enterprise valuation, because the increasing integration of capital markets requires a model with an international context and the local CAPM only assumes an exclusively national...
Persistent link: https://www.econbiz.de/10012928170
Persistent link: https://www.econbiz.de/10011707472
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...
Persistent link: https://www.econbiz.de/10009646418
We show analytically under quite general conditions that time-varying 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 in order to resolve the equity...
Persistent link: https://www.econbiz.de/10013095127