Understanding the implied market risk premium in analysts´ forecasts

Detalhes bibliográficos
Autor(a) principal: Domingos, Nuno Miguel Afonso
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/122678
Resumo: Analysts play a preponderant role in asset price formation. Although there is abundant literature on analysts' outputs, such as price targets, few robust analyses are performed on valuation inputs. This paper explores a large sample of analysts’ market risk premium estimates, evaluating whether specific characteristics/incentives influence the parameter used when performing valuation exercises. We use publicly available I/B/E/S price targets to derive the implied market risk premium, obtaining an average of 5.15% for2010-2019. We then employ a multivariate regression analysis and document that analysts providing optimistic earnings forecasts use heftier risk premium estimates, possibly to maintain predetermined price targets.
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spelling Understanding the implied market risk premium in analysts´ forecastsEquity analystsMarket risk premiumCost of equityPrice targetEarnings forecastAnalysts characteristicsAnalysts incentivesDomínio/Área Científica::Ciências Sociais::Economia e GestãoAnalysts play a preponderant role in asset price formation. Although there is abundant literature on analysts' outputs, such as price targets, few robust analyses are performed on valuation inputs. This paper explores a large sample of analysts’ market risk premium estimates, evaluating whether specific characteristics/incentives influence the parameter used when performing valuation exercises. We use publicly available I/B/E/S price targets to derive the implied market risk premium, obtaining an average of 5.15% for2010-2019. We then employ a multivariate regression analysis and document that analysts providing optimistic earnings forecasts use heftier risk premium estimates, possibly to maintain predetermined price targets.Anjos, FernandoRUNDomingos, Nuno Miguel Afonso2021-08-18T11:19:42Z2021-01-132021-01-042021-01-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/122678TID:202741460enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:04:14Zoai:run.unl.pt:10362/122678Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:44:49.655995Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Understanding the implied market risk premium in analysts´ forecasts
title Understanding the implied market risk premium in analysts´ forecasts
spellingShingle Understanding the implied market risk premium in analysts´ forecasts
Domingos, Nuno Miguel Afonso
Equity analysts
Market risk premium
Cost of equity
Price target
Earnings forecast
Analysts characteristics
Analysts incentives
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Understanding the implied market risk premium in analysts´ forecasts
title_full Understanding the implied market risk premium in analysts´ forecasts
title_fullStr Understanding the implied market risk premium in analysts´ forecasts
title_full_unstemmed Understanding the implied market risk premium in analysts´ forecasts
title_sort Understanding the implied market risk premium in analysts´ forecasts
author Domingos, Nuno Miguel Afonso
author_facet Domingos, Nuno Miguel Afonso
author_role author
dc.contributor.none.fl_str_mv Anjos, Fernando
RUN
dc.contributor.author.fl_str_mv Domingos, Nuno Miguel Afonso
dc.subject.por.fl_str_mv Equity analysts
Market risk premium
Cost of equity
Price target
Earnings forecast
Analysts characteristics
Analysts incentives
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Equity analysts
Market risk premium
Cost of equity
Price target
Earnings forecast
Analysts characteristics
Analysts incentives
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Analysts play a preponderant role in asset price formation. Although there is abundant literature on analysts' outputs, such as price targets, few robust analyses are performed on valuation inputs. This paper explores a large sample of analysts’ market risk premium estimates, evaluating whether specific characteristics/incentives influence the parameter used when performing valuation exercises. We use publicly available I/B/E/S price targets to derive the implied market risk premium, obtaining an average of 5.15% for2010-2019. We then employ a multivariate regression analysis and document that analysts providing optimistic earnings forecasts use heftier risk premium estimates, possibly to maintain predetermined price targets.
publishDate 2021
dc.date.none.fl_str_mv 2021-08-18T11:19:42Z
2021-01-13
2021-01-04
2021-01-13T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/122678
TID:202741460
url http://hdl.handle.net/10362/122678
identifier_str_mv TID:202741460
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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