Arbeitspapier

Risk, returns, and biases of listed private equity portfolios

This is the first empirical paper investigating a comprehensive sample of listed (i.e. publicly traded) private equity companies, covering 287 companies in the time period 1986 to 2003. After imposing liquidity constraints, and after correcting for non-surviving vehicles, we get a sample of 114 instruments. The risk and return characteristics of three portfolio strategies, two partially rebalanced and one fully rebalanced, are compared. We moreover address potential biases resulting from thin trading, the bid-ask spread, and sample selection. We show that the adjusted performance figures differ substantially from standard estimates. But even after correcting for these biases, we find a high risk-adjusted performance of this asset class before 2000, and dramatic different results between the three indices if we extend the time period to 2003.Listed private equity, Private equity, Performance biases

Sprache
Englisch

Erschienen in
Series: WWZ Working Paper ; No. 1/05

Klassifikation
Wirtschaft
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Thema
Listed private equity
Private equity
Performance biases

Ereignis
Geistige Schöpfung
(wer)
Bilo, Stéphanie
Christophers, Hans
Degosciu, Michèl
Zimmermann, Heinz
Ereignis
Veröffentlichung
(wer)
University of Basel, Center of Business and Economics (WWZ)
(wo)
Basel
(wann)
2005

DOI
doi:10.5451/unibas-ep61263
Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Bilo, Stéphanie
  • Christophers, Hans
  • Degosciu, Michèl
  • Zimmermann, Heinz
  • University of Basel, Center of Business and Economics (WWZ)

Entstanden

  • 2005

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