Analysts' Earnings Forecast, Portfolio Selection and Market Risk Premia: an Empirical Comparison of Four Different Valuation Approaches

Student: Gilmutdinova Renata

Supervisor: Dmitriy Alexandrovich Kachalov

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2018

The estimation of expected returns of investments is one of the central problems of portfolio management and asset pricing. This study explores how different models of asset pricing evaluate future expected earnings in different countries. I have chosen The United States of America as the country for researching due to the fact that America is known as the most developed country with the largest and most powerful economy. This analysis is based on monthly data for Dow Jones firms in the period between 1 January 2010 and 1 January 2018. Chosen sample helps avoid deviation in measuring in expected returns of investment caused by crises. In comparison, during the last eight years economics of chosen country was relatively stable.

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