Arbeitspapier
The private equity premium puzzle revisited: new evidence on the role of heterogeneous risk attitudes
The empirical finding that entrepreneurs tend to invest a large share of their wealth in their own firms despite comparably low returns and high risk has become known as the private equity premium puzzle. This paper provides evidence supporting the hypothesis that lower risk aversion of entrepreneurs, and not necessarily credit constraints, may explain this puzzle. The analysis is based on a large, representative panel data set for Germany, which provides information on asset portfolios and experimentally validated risk attitudes. The results show that both the ownership probability and the conditional portfolio share of private business equity significantly increase with higher risk tolerance.
- Language
-
Englisch
- Bibliographic citation
-
Series: DIW Discussion Papers ; No. 839
- Classification
-
Wirtschaft
Portfolio Choice; Investment Decisions
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Entrepreneurship
Labor Demand
Criteria for Decision-Making under Risk and Uncertainty
- Subject
-
Entrepreneurship
private equity
investment
risk aversion
Unternehmer
Anlageverhalten
Private Equity
Investition
Risikoaversion
Equity Premium Puzzle
Deutschland
- Event
-
Geistige Schöpfung
- (who)
-
Fossen, Frank M.
- Event
-
Veröffentlichung
- (who)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (where)
-
Berlin
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fossen, Frank M.
- Deutsches Institut für Wirtschaftsforschung (DIW)
Time of origin
- 2008
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