Equity Return Expectations and Portfolios: Evidence from Large Asset Managers
研究发现大型资产管理公司的股票溢价预期是逆周期的，即估值低时预期高，且这些预期显著影响其投资组合配置，但影响程度受投资授权限制且弱于标准模型预测。
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.