Equity Return Expectations and Portfolios: Evidence from Large Asset Managers (with Magnus Dahlquist, July 2021), Online Appendix
In contrast to the expectations of retail investors, equity premium expectations of large asset managers are high when valuations are low and low when valuations are high. Moreover, asset managers' expectations are reflected in their portfolios.
Rational expectations models of active management make precise predictions on how expectations are formed. Professional analysts' expectations are diametrically opposed to the expectations implied by such models.
What Do Mutual Fund Managers' Private Portfolios Tell Us About Their Skills? (Ola Bengtsson prize, WFA Cubist Systematic Strategies Award, June 2021), Revise & Resubmit at Journal of Financial Intermediation, Media coverage: Svenska Dagbladet
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, The 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.