Markus Ibert

Institutions' Return Expectations across Assets and Time (with Magnus Dahlquist)

In Search of the True Greenium (with Marc Eskildsen, Theis Ingerslev Jensen, and Lasse Heje Pedersen) (Revise and Resubmit at Journal of Financial Economics)

Are Subjective Expectations Formed as in Rational Expectations Models of Active Management? (with Magnus Dahlquist and Felix Wilke) (Accepted at Management Science)

Equity Return Expectations and Portfolios: Evidence from Large Asset Managers (with Magnus Dahlquist, Review of Financial Studies, Volume 37, Issue 6, Pages 1887-1928, June 2024), best paper award in asset pricing at SFS Cavalcade 2023

Equity return expectations of large asset managers are countercyclical (high when the price-earnings is low and low when the price-earnings ratio is high), and reflected in the asset allocation funds these managers manage.

Replication code and data can be found here. Please cite the above paper if you use the replication package. 

What Do Mutual Fund Managers' Private Portfolios Tell Us About Their Skills? (Journal of Financial Intermediation, Volume 53,  January 2023), Media coverage: Svenska Dagbladet, DWN, Ola Bengtsson prize and WFA Cubist Systematic Strategies Award

Mutual fund managers who personally invest in their funds outperform those who do not, consistent with a model in which managers are certain about their own ability but investors are not. 

Are Mutual Fund Managers Paid for Investment Skill? (with Ron Kaniel, Stijn Van Nieuwerburgh, and Roine Vestman, Review of Financial Studies, Volume 31, Issue 2, Pages 715-722, February 2018), Media coverage: Reuters, VoxEU, Harvard Law School Forum, Financial Post, Bloomberg

Fund manager pay increases with fund revenue and fund family profits, but only weakly with fund performance.