This paper presents a cash flow based analysis of the return and risk characteristics of European Private Equity Funds. For that purpose a comprehensive data set has been provided by Thomson Venture Economics. We document the typical time pattern of cash flows for European private equity funds....

The paper examines the validity of several hypothesis concerning the underpricing of initial public offerings. This hypothesis are tested on a data sample containing all IPO's on the German capital market during the period 1983- 1992. Three of our findings seem to be of special interest. First,...

We derive a novel model of the cash flow dynamics and equilibrium values of private equity funds. Based on intertemporal capital asset pricing results for an investor with logarithmic utility, the model explains a life cycle of systematic fund risk and fund value. The closed form solution allows...

Structure and stability of private equity market risk are still nearly unknown, since market prices are mostly unobservable for this asset class. This paper aims to fill this gap by analyzing market risks of listed private equity vehicles. We show that aggregate market risk varies strongly over...

We test the Fama-French three-factor model for a large international data set using an alternative proxy for expected returns - the implied cost of capital (ICC). The implied risk premiums of the three factors are all highly significant. Also, the cross-country variation of each of the three...