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Dealing with Non-Normality When Estimating Abnormal Returns and Systematic Risk of Private Equity : A Closed-Form Solution
Buchner, Axel - 2015
systematic risk and abnormal returns. In addition, unlike previous studies that derive estimates based on the standard CAPM, the … method employs a generalized CAPM that is based on the equilibrium model of Rubinstein (1976).This generalized CAPM … investments documented is lower than found in previous studies that estimate a standard CAPM, which is consistent with the theory …
Persistent link: https://www.econbiz.de/10013020161
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The Systematic Risk of Private Equity
Buchner, Axel - 2014
Persistent link: https://www.econbiz.de/10013056129
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CAPM & Co. Revisited - Modeling Risk and Return of Private Equity Funds
Litty, Timo - 2009
For years, research has been conducted to correctly model and predict the risk and return structures of Private Equity (PE) funds. Although past research has revealed valuable insight into the features of those funds, most risk and return model struggle with the dispersion of PE funds' returns,...
Persistent link: https://www.econbiz.de/10013156810
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Risk Adjustment in Private Equity Returns
Korteweg, Arthur G. - 2019
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
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Risk and Return of Short-Duration Equity Investments
Cejnek, Georg - 2017
We analyze short-duration equity investments using traded claims on index dividends. We show that investment strategies with constant short maturity outperform a systematic long position in the underlying equity index on a risk-adjusted basis and in absolute terms. Furthermore, we find higher...
Persistent link: https://www.econbiz.de/10012973632
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Housing 'Beta' Common Risk Factor in Returns of Stocks
Sunderman, Mark - 2019
This study proposes the housing "beta" and tests whether the housing "beta" is a significant determinant for stock returns in a multifactor framework. We hypothesize that the housing market is a systematic risk factor given the impact of the housing market on the overall economy and economics...
Persistent link: https://www.econbiz.de/10012869422
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A Lottery Demand-Based Explanation of the Beta Anomaly
Bali, Turan G. - 2016
The low (high) abnormal returns of stocks with high (low) beta - the beta anomaly - is one of the most persistent anomalies in empirical asset pricing research. This paper demonstrates that investors' demand for lottery-like stocks is an important driver of the beta anomaly. The beta anomaly is...
Persistent link: https://www.econbiz.de/10013006629
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Why are high exposures to factor betas unlikely to deliver anticipated returns?
Brightman, Chris; Henslee, Forrest; Kalesnik, Vitali; … - 2021
By choosing investment strategies that intentionally create exposure to factor betas, investors may be obtaining uncompensated risks. We show across a wide variety of factors and geographical markets that factors constructed from fundamental characteristics have earned high returns, whereas...
Persistent link: https://www.econbiz.de/10012585863
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Local Beta : Have Location Risks Been Priced in REIT Returns?
Zhu, Bing; Lizieri, Colin - 2021
This paper studies the pricing of the risk associated with the location of the assets. The location risk is measured by ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real estate firms. The empirical results confirm a higher...
Persistent link: https://www.econbiz.de/10013239899
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The Effect of Exchange Rate Risk on the Conditional Relationship between Beta Risk and Return in International Equity Markets
Sandoval, Eduardo - 2010
The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets from January 1978 through September 2004. We use an extension of the model introduced by Pettengill, Sundaran, and Mathur (PSM Model, 1995) and adapted...
Persistent link: https://www.econbiz.de/10013148458