Arbeitspapier
Risk and expected returns of private equity investments: Evidence based on market prices
We estimate the risk and expected returns of private equity investments based on the market prices of exchange traded funds of funds that invest in unlisted private equity funds. Our results indicate that the market expects unlisted private equity funds to earn abnormal returns of about one to two percent. We also find that the market expects listed private equity funds to earn zero to marginally negative abnormal returns net of fees. Both listed and unlisted private equity funds have market betas close to one and positive factor loadings on the Fama-French SMB factor. Private equity fund returns are positively correlated with GDP growth and negatively correlated with the credit spread. Finally, we find that market returns of exchange traded funds of funds and listed private equity funds predict changes in self-reported book values of unlisted private equity funds.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFS Working Paper ; No. 2010/04
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Private Equity
Listed Private Equity
Risk-Return Characteristics
Funds of Funds
Kapitalanlage
Private Equity
Kapitalertrag
Risiko
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Jegadeesh, Narasimhan
Kräussl, Roman
Pollet, Joshua
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- URN
-
urn:nbn:de:hebis:30-75150
- 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.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Jegadeesh, Narasimhan
- Kräussl, Roman
- Pollet, Joshua
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2010
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