Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices

被引：23

作者：

Jegadeesh, Narasimhan ^{[1
]}

Kraeussl, Roman ^{[2
]}

Pollet, Joshua M. ^{[3
]}

机构：

[1] Emory Univ, Goizueta Business Sch, Atlanta, GA 30322 USA

[2] Univ Luxembourg, Luxembourg Sch Finance, Luxembourg, Luxembourg

[3] Univ Illinois, Dept Finance, Urbana, IL USA

来源：

REVIEW OF FINANCIAL STUDIES | 2015年 / 28卷 / 12期

关键词：

CLOSED-END FUNDS; PERFORMANCE; FLOWS;

D O I：

10.1093/rfs/hhv046

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We estimate the risk and expected return of private equity using market prices of publicly traded funds of funds holding unlisted private equity funds and of publicly traded private equity funds participating directly in private equity transactions. We find that the market expects unlisted private equity funds to earn abnormal returns between -0.5% and 2% per year. In addition, private equity has a market beta close to one and a positive beta on the SMB factor. These listed funds exhibit greater systematic risk than an index based on the self-reported net asset value of unlisted private equity funds.

引用

页码：3269 / 3302

页数：34

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