Markus Ibert
Working Papers
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)
Are Subjective Expectations Formed as in Rational Expectations Models of Active Management? (with Magnus Dahlquist and Felix Wilke) (Revise and Resubmit at Management Science)
Peer-reviewed publications
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.
Other publications
Are Stocks Pricing in Recession Risks? Evidence from Dividend Futures, with Ben Knox and Francisco Vazquez-Grande, FEDS Note, 2022
Runs on Algorithmic Stablecoins: Evidence from Iron, Titan, and Steel, with Austin Adams, FEDS Note, 2022
The Stock Market-Real Economy "Disconnect": A Closer Look, with Andrew Y. Chen and Francisco Vazquez-Grande, FEDS Note, 2020