Institutions’ return expectations across assets and time
研究了资产管理人、投资顾问、财富顾问、公共养老金和专业预测者对股票、现金和公司债券的风险溢价预期，发现主观风险溢价与实时可得的客观风险溢价一对一变动且逆周期，且机构间的主观股票溢价差异大于时间序列上的变化。
We study the equity, cash, and corporate bond risk premium expectations of asset managers, investment consultants, wealth advisors, public pension funds, and professional forecasters. Subjective risk premia vary one-to-one with objective risk premia that are available in real time and countercyclical. Despite their significant time-series variation, several subjective equity premia vary more in the cross-section of institutions than in the time series. This heterogeneity persists both over time and across asset classes. We tie the heterogeneity in subjective equity return expectations to heterogeneous expectations about long-term equity valuations: some institutions believe that the price–earnings ratio behaves like a random walk, whereas others believe in varying degrees of mean reversion.