Showing 1 - 10 of 3,955
Limited partners (LPs) of private equity funds commit to invest with extreme levels of illiquidity and significant uncertainty regarding the timing of capital flows. Secondary markets have emerged which alleviate some of the associated cost. This paper develops a subjective valuation model...
Persistent link: https://www.econbiz.de/10011772208
Performance persistence in the private equity industry is not long-lived. Current fund performance is positively and significantly associated with the performance of the first follow-on fund, but the magnitude of persistence substantially declines afterwards. Persistence, if any, is largely...
Persistent link: https://www.econbiz.de/10013115643
We develop a dynamic valuation model of private equity (PE) investments by solving the portfolio-choice problem for a risk-averse investor (LP), who invests in a PE fund, managed by a general partner (GP). Key features are illiquidity, leverage, GP value-adding skills (alpha), and compensation,...
Persistent link: https://www.econbiz.de/10013090000
We develop a dynamic valuation model of private equity (PE) investments by solving the portfolio-choice problem for a risk-averse investor (LP), who invests in a PE fund, managed by a general partner (GP). Key features are illiquidity, leverage, GP value-adding skills (alpha), and compensation,...
Persistent link: https://www.econbiz.de/10013091151
This study analyses the role of private equity backing in initial public offerings (IPOs) using a dataset of 227 companies that went public on the Milan Stock Exchange between January 1995 and December 2007. The evidence rejects the certification and monitoring hypotheses and provides...
Persistent link: https://www.econbiz.de/10013067677
Exploiting a unique opportunity offered by the Italian private equity (PE) market, we examine the hitherto largely unexplored internal rate of return (IRR) of PE investments. Our database covers the entire universe of transactions sponsored by Italian PE investors in Italy up to 2007 and offers...
Persistent link: https://www.econbiz.de/10013038864
We develop a dynamic valuation model of private equity (PE) investments by solving the portfolio-choice problem for a risk-averse investor (LP), who invests in a PE fund, managed by a general partner (GP). Key features are illiquidity, leverage, GP value-adding skills (alpha), and compensation,...
Persistent link: https://www.econbiz.de/10012905481
This article reviews empirical methods to assess risk and return in private equity. I discuss data and econometric issues for deal-level, fund-level, and publicly traded partnerships data. Risk-adjusted return estimates vary substantially by method, time period, and data source. The weight of...
Persistent link: https://www.econbiz.de/10012897118
This paper develops a novel Public Market Equivalent (PME) measure to evaluate the risk-adjusted performance of private equity investments using the standard CAPM and multi-factor extensions. Using a comprehensive sample of 7,732 fully realized venture capital investments, the paper estimates...
Persistent link: https://www.econbiz.de/10013013625
This paper introduces a novel methodology to estimate abnormal performance and systematic risk of private equity from observable cash flows. The methodology is validated using Monte-Carlo simulations and is applied to a unique sample of 10,798 portfolio company investments by private equity...
Persistent link: https://www.econbiz.de/10012856376