Finance Seminar: Magnus Dahlquist, Stockholm School of Economics
Title: Institutions’ Return Expectations across Assets and Time
Info about event
Time
Location
Fuglesangs Allé 4, 8210 Aarhus V, Building 2630(K), Room 101
Organizer
Presenter: Magnus Dahlquist, Stockholm School of Economics
Title: Institutions’ Return Expectations across Assets and Time
Abstract: We study the equity, Treasury bond, and corporate bond risk premium expectations of asset managers, investment consultants, wealth advisors, public pension funds, and professional forecasters. Consistent with conventional rational expectations asset pricing models, subjective risk premia vary one-to-one with objective risk premia that are available in real time and countercyclical (i.e., high in recessions and low in expansions). Despite their significant time-series variation, several subjective equity premia vary more in the cross-section than in the time series. We tie this heterogeneity in subjective equity premia to heterogeneous priors about long-term valuations. Overall, the results are consistent with the notion that time-varying risk premia are the key drivers of asset prices.
Host: Jonas N. Eriksen