Equity Return Expectations and Portfolios: Evidence from Large Asset Managers

• 成果类型: Article
• 署名作者: Dahlquist, Magnus; Ibert, Markus
• 署名单位: Stockholm School of Economics; Centre for Economic Policy Research - UK; Copenhagen Business School; Danish Finance Institute
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae008
• 发表日期: 2024
• 页码: 1887
• 关键词: rare disasters; long-run; STOCK; RISK

摘要

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.