SFS Cavalcade North America 2026
Darden Graduate School of Business Administration, University of Virginia
May 18-21, 2026
Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
Please note that all times are shown in the time zone of the conference. The current conference time is: 18th Apr 2026, 05:18:29am EDT
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Agenda Overview |
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Track TH7-2: Learning, Beliefs, and Disagreement
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Institutional Investors’ Subjective Risk Premia: Time Variation and Disagreement 1Price School of Public Policy, University of Southern California; 2Fisher College of Business, The Ohio State University; 3Fisher College of Business, The Ohio State University; 4Mendoza College of Business, University of Notre Dame We study the role of institutional investors’ subjective risk premia in explaining vari- ation in their subjective expected returns (both over time and across investors). Our analysis uses long-term Capital Market Assumptions from asset managers and invest- ment consultants from 1987 to 2022. Perceived market risk premia account for most of the countercyclicality and overall time variation in subjective expected returns, with the remainder driven by alphas (perceived mispricing). The risk premia effect stems almost entirely from time variation in perceived risk quantities rather than risk price (risk aversion). Additionally, market risk premia explain most of the expected return disagreement, but here alphas play a significant role, and risk price and risk quantities contribute roughly equally to the risk premia effect. These results provide benchmark moments that asset pricing models should match to be consistent with institutional investors’ beliefs.
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