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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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Estimating Private Equity Market Beta Using Cash Flows : A Cross-Sectional Regression of Fund-Market Paired Internal Rates of Return
Jiang, Yindeng - 2014
We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public market equivalent calculation to a cross-sectional regression. By simply regressing funds' internal rates of return on their paired market internal rates of...
Persistent link: https://www.econbiz.de/10013054634
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The Systematic Risk of Private Equity
Buchner, Axel - 2014
Persistent link: https://www.econbiz.de/10013056129
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Risk-Adjusting the Returns of Private Equity Using the CAPM and Multi-Factor Extensions
Buchner, Axel - 2015
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 PMEs using the standard CAPM, the Fama-French three-factor model, and a four …
Persistent link: https://www.econbiz.de/10013013625
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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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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