Breuer, Wolfgang; Gürtler, Marc - 2010 - This Version: 2010-10-22
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 …
