Equity Return Expectations and Portfolios: Evidence From Large Asset Managers

Magnus Dahlquist*, Markus Ibert

*Corresponding author af dette arbejde

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Abstract

Collecting large asset managers’ capital market assumptions, we revisit the relationships between subjective equity premium expectations, equity valuations, and financial portfolios. In contrast to the well-documented extrapolative expectations of retail investors, asset managers’ equity premium expectations are countercyclical: they are high (low) when valuations are low (high). We find that asset managers’ portfolios reflect their heterogeneous expectations: allocation funds of asset managers with larger U.S. equity premium expectations invest significantly more in U.S. equities. The sensitivity of portfolios to expectations seems to be muted by investment mandates and is smaller than the one predicted by a standard portfolio choice model.
OriginalsprogEngelsk
Artikelnummerhhae008
TidsskriftReview of Financial Studies
Vol/bind37
Udgave nummer6
Sider (fra-til)1887-1928
Antal sider42
ISSN0893-9454
DOI
StatusUdgivet - jun. 2024

Bibliografisk note

Published online: 06 March 2024.

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