The estimation of expected security returns is one of the major tasks for the practical implementationof the Markowitz portfolio optimization. Against this background, in 1992 Black and Littermandeveloped an approach based on (theoretically established) expected equilibrium returns whichaccounts...

Since the equity premium as well as the risk-free rate puzzle question the concepts centralto financial and economic modeling, we apply behavioral decision theory to asset pricing in view ofsolving these puzzles. U.S. stock market data for the period 1960-2003 and German stock marketdata for the...

Die Immobilienbewertung von Renditeobjekten erfolgt in Deutschland derzeitüberwiegend über das so genannte Ertragswertverfahren, welches gesetzlich in der Wertermittlungsverordnung(WertV) verankert ist und mit dem Discounted-Cash-Flow (DCF) Verfahren aus dem angelsächsischenRaum vergleichbar...

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...

In the literature, implied rates of return are suggested as estimators for future expected oneperiodreturns because of their property not being prone to the discount rate effect. The discount rateeffect describes the problem that changes in expected future one-period returns lead to...