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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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Evaluating Private Equity Performance Using Stochastic Discount Factors
Gredil, Oleg - 2020
— as their assumptions appear consistent with investment objectives of avid PE investors. In contrast to CAPM …
Persistent link: https://www.econbiz.de/10012845721
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How much for a haircut? : illiquidity, secondary markets, and the value of private equity
Bollen, Nicolas P. B.; Sensoy, Berk A. - 2016
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
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Valuing Private Equity
Sorensen, Morten - 2013
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
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Valuing Private Equity
Sorensen, Morten - 2013
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
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Valuing Private Equity
Sorensen, Morten - 2019
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
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Equilibrium Liquidity Premia of Private Equity Funds
Buchner, Axel - 2015
This paper proposes a theory of the equilibrium liquidity premia of private equity funds and explores its asset-pricing implications. The theory is based on the notion that investors are exposed to the risk of facing surprise liquidity shocks, which upon arrival force them to liquidate their...
Persistent link: https://www.econbiz.de/10013030408
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An analysis of the relation between return and beta for portfolios of Turkish equities
Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent economics & finance 4 (2016) 1, pp. 1-8
the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …
Persistent link: https://www.econbiz.de/10011450716
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Real Estate Betas and the Implications for Asset Allocation
Mladina, Peter - 2018
Real estate is an important asset class, but what specifically does real estate contribute to improve diversified stock–bond portfolios? The author decomposes real estate investment trust returns into their factor betas to show that real estate is a hybrid asset class, with returns explained...
Persistent link: https://www.econbiz.de/10012925853
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Betting Against Other Betas
Murray, Scott - 2020
Using several multi-factor models, I find strong "betting against beta'' effects - flat relations between betas and expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to profit from these effects earn average returns similar to...
Persistent link: https://www.econbiz.de/10012841238