This paper addresses the problem to accurately determine buyout opportunity cost of capital for performance analyses. It draws on a unique and proprietary set of data on 133 US buyouts between 1984 and 2004. For each of them, we determine a public market equivalent that matches it with respect...

This paper investigates the stock performance of listed private equity vehicles which are grouped into subsamples according to their organizational structure. We identify 274 liquid listed private equity entities in the period from 1986 to 2008. Listed private equity shows an aggregate Dimson...

This article is prepared as a book chapter for a practitioner guide to alternative assets. I present a stylized model in order to mimic LBO transactions with investments in the public equity market. The method can be used to benchmark individual LBOs and private equity fund portfolios

Private equity is a crucial source of financing for start-ups and, therefore, important for innovation and economic growth. The securities laws have an enormous impact on the ability of start-ups to obtain private equity investment. One of the most important of these laws is the SEC's Rule 144....

I examine the determinants and market impact of paid-for coverage using a hand-collected sample of paid-for reports over 1999ndash;2006. More than five hundred publicly listed US companies paid for analyst coverage since 1999. Yet little is known about the informational consequences of this...

The phrase 'private equity' became widespread in the late 1980s following major buyout fund activity. What has been neglected for some time is the existence of listed private equity - an exposure through a share in a private equity company traded on a stock exchange. While the listed market is...

Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor's decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time-varying probabilities...

This paper focuses on the time series properties of the level of underpricing of IPO shares and volume of initial selling in Hong Kong equity market. Strong autocorrelation among the level of underpricing has been identified. Evidence suggests that the initial selling volume plays an important...

Credit risk is defined as that risk of financial loss caused by failure by the counterparty. According to statistics, for financial institutions, credit risk is much important than market risk, reduced diversification of the credit risk is the main cause of bank failures. Just recently, the...

Building on neoclassical reasoning, we propose a new multi-factor model that consists of the market factor and factor mimicking portfolios based on investment and productivity. The neo- classical three-factor model outperforms traditional factor models in explaining the average returns across...