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Do Private Equity Funds Manipulate Reported Returns?

Brown, Gregory W. - 2017

Private equity funds hold assets that are hard to value. Managers may have an incentive to distort reported valuations if these are used by investors to decide on commitments to subsequent funds managed by the same firm. Using a large dataset of buyout and venture funds, we test for the presence...

Persistent link: https://www.econbiz.de/10012974308

Trading Efficiency of Fund Families : Impact on Fund Performance and Investment Behavior

Cici, Gjergji - 2016

This study examines how the efficiency of trading desks operated by mutual fund families affects the performance and trading of affiliated funds. We estimate the trading efficiency of a fund family's trading desk as the difference between the gross return of the family's index fund, which...

Persistent link: https://www.econbiz.de/10013005757

Do generalists profit from the fund families' specialists? : evidence from mutual fund families offering sector funds

Göricke, M.-A. - 2016 - This draft: December 2016

This paper analyzes how the existence of sector funds (specialists) within a mutual fund family affects the performance and investment behavior of affiliated diversified equity funds (generalists). First of all, I show that specialists have stock picking skills. Second, information flows from...

Persistent link: https://www.econbiz.de/10011568235

Measuring institutional investors' skill from their investments in private equity

Cavagnaro, Daniel R.; Sensoy, Berk A.; Wang, Yingdi; … - 2018

Using a large sample of institutional investors' investments in private equity funds raised between 1991 and 2011, we estimate the extent to which investors' skill affects their returns. Bootstrap analyses show that the variance of actual performance is higher than would be expected by chance,...

Persistent link: https://www.econbiz.de/10011962225

The liquidity cost of private equity investments : evidence from secondary market transactions

Nadauld, Taylor D.; Sensoy, Berk A.; Vorkink, Keith; … - 2017

This paper uses proprietary data from a leading intermediary to understand the magnitude and determinants of transaction costs in the secondary market for private equity stakes. Most transactions occur at a discount to net asset value. Buyers average an annualized public market equivalent of...

Persistent link: https://www.econbiz.de/10011962229

Does family matter? : venture capital cross-fund cash flows

Kräussl, Roman; Rinne, Kalle; Sunc, Huizhu - 2022

Venture capital (VC) funds backed by large multi-fund families tend to perform substantially better due to cross-fund cash flows (CFCFs), a liquidity support mechanism provided by matching distributions and capital calls within a VC fund family. The dynamics of this mechanism coincide with the...

Persistent link: https://www.econbiz.de/10013555504

Estimation of holding periods applied to the case of short and leveraged ETFs

Schubert, Leo; Schubert, David - In: Atlantic review of economics : AROE 1 (2017)

The estimation of the holding periods of financial products has to be done in a dynamic process in which the size of … geometric probability functions. The estimation will be found by maximizing the likelihood function. The two examples will … estimation approaches, the average holding periods of ETFs increase by 4%-29%. This increase depends on the time interval T of …

Persistent link: https://www.econbiz.de/10011890392

Tournament behavior in Australian superannuation funds : a non-parametric analysis

Hallahan, Terrence; Faff, Robert W. - In: Global finance journal 19 (2009) 3, pp. 307-322

Persistent link: https://www.econbiz.de/10003837187

On the usability of synthetic measures of mutual fund net-flows

Ber, Silke; Ruenzi, Stefan - 2006

Due to a lack of data availability, numerous empirical studies on mutual fund flows (e.g. Sirri/Tufano (1998)) analyze synthetically derived flow measures. We show how good these measures can explain actual flows. We compare the measures suggested in the literature with the actual net-flows of...

Persistent link: https://www.econbiz.de/10009525171

Do investors value cash flow stability of listed infrastructure funds?

Bitsch, Florian - 2012

I analyze cash flow characteristics of listed infrastructure investment companies and funds and compare this unique infrastructure sample with a non-infrastructure reference group. I confirm that infrastructure investment provide more stable cash flows than non-infrastructure investments....

Persistent link: https://www.econbiz.de/10009427073

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