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.

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股票回报预期和投资组合：来自大型资产管理公司的证据

收集大型资产管理公司的资本市场假设，我们重新审视主观股权溢价预期、股权估值和金融投资组合之间的关系。与散户投资者有据可查的外推预期相反，资产管理公司的股票溢价预期是反周期的：当估值低（高）时，股票溢价预期就高（低）。我们发现，资产管理公司的投资组合反映了他们的异质预期：美国股票溢价预期较大的资产管理公司的配置基金明显更多地投资于美国股票。投资组合对预期的敏感性似乎受到投资指令的影响，并且小于标准投资组合选择模型预测的敏感性。