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The private equity premium puzzle revisited
Kartashova, Katya - 2011
In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors' methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989 - 1998 and...
Persistent link: https://www.econbiz.de/10010280050
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The private equity premium puzzle revisited
Kartashova, Katya - 2011
In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors' methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989 - 1998 and...
Persistent link: https://www.econbiz.de/10008841171
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The Opportunity Cost of Capital of US Buyouts
Groh, Alexander Peter - 2009
This paper addresses the problem of accurately determining buyout opportunity cost of capital for performance analyses. It draws on a unique and proprietary set of data on 133 United States buyouts between 1984 and 2004. For each buyout, we determine a public market equivalent that matches the...
Persistent link: https://www.econbiz.de/10013159742
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Compensation Vega, Deregulation and Risk-Taking : Lessons from the U.S. Banking Industry
Belkhir, Mohamed - 2010
This study examines three issues related to the sensitivity of bank CEO compensation to risk, or vega: (1) its … relevance compared with CEO compensation vega in industrial firms; (2) its determinants; and (3) its effect on bank risk …–2006, we find that the vega of CEO compensation in banking is of a much smaller magnitude than the vega of CEO compensation in …
Persistent link: https://www.econbiz.de/10013147144
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Optimal asset allocation under linear loss aversion
Fortin, Ines; Hlouskova, Jaroslava - 2010
Growing experimental evidence suggests that loss aversion plays an important role in asset allocation decisions. We study the asset allocation of a linear loss-averse (LA) investor and compare the optimal LA portfolio to the more traditional optimal mean-variance (MV) and conditional...
Persistent link: https://www.econbiz.de/10010293995
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Secrets of the academy : the drivers of university endowment success
Lerner, Joshua; Schoar, Antoinette; Wang, Jialan - 2007 - Rev.
In this paper, we have sought to understand what has been the performance of university endowments, and what drives the observed pattern of performance. Our key observations are as follows: (a) the endowments of elite universities have grown dramatically faster than endowments overall; (b)...
Persistent link: https://www.econbiz.de/10003948682
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Hidden liquidity : determinants and impact
Cebiroglu, Gökhan; Horst, Ulrich - 2012
We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...
Persistent link: https://www.econbiz.de/10009506557
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Do financial advisors provide tangible benefits for investors? : evidence from tax-motivated mutual fund flows
Cici, Gjergji; Kempf, Alexander; Sorhage, Christoph - 2015 - [This version]: July 2015
Rationality would suggest that advice-seeking investors receive benefits from costly financial advice. However, evidence documenting these benefits for U.S. investors has so far been lacking. This paper is the first to document that U.S. mutual fund investors indeed receive one of the many...
Persistent link: https://www.econbiz.de/10011308611
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Limited partner performance and the maturing of the private equity industry
Sensoy, Berk A.; Wang, Yingdi; Weisbach, Michael S. - 2013
We evaluate the performance of limited partners' (LPs) private equity investments over time. Using a sample of 14,380 investments by 1,852 LPs in 1,250 buyout and venture funds started between 1991 and 2006, we find that the superior performance of endowment investors in the 1991-1998 period,...
Persistent link: https://www.econbiz.de/10009724586
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Optimal asset allocation under linear loss aversion
Fortin, Ines; Hlouskova, Jaroslava - 2010
Growing experimental evidence suggests that loss aversion plays an important role in asset allocation decisions. We study the asset allocation of a linear loss-averse (LA) investor and compare the optimal LA portfolio to the more traditional optimal mean-variance (MV) and conditional...
Persistent link: https://www.econbiz.de/10009732564