Narrow search
Showing 1 - 10 of 707,366
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Dealing with Non-Normality When Estimating Abnormal Returns and Systematic Risk of Private Equity : A Closed-Form Solution
Buchner, Axel - 2015
investments documented is lower than found in previous studies that estimate a standard CAPM, which is consistent with the theory … 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 …
Persistent link: https://www.econbiz.de/10013020161
Cover Image
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
Cover Image
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 … parameters closely match data of buyout funds and is illustrated by using numerical simulations. The theory generates a rich set …
Persistent link: https://www.econbiz.de/10013030408
Cover Image
Explaining Returns in Private Equity Investments
Caselli, Stefano - 2015
Exploiting a unique opportunity offered by the Italian private equity (PE) market, we examine the hitherto largely unexplored internal rate of return (IRR) of PE investments. Our database covers the entire universe of transactions sponsored by Italian PE investors in Italy up to 2007 and offers...
Persistent link: https://www.econbiz.de/10013038864
Cover Image
Decreasing Returns or Reversion to the Mean? The Case of Private Equity Fund Growth
Rossi, Andrea - 2019
When a private equity firm raises a larger fund, performance tends to decline. This pattern is usually interpreted as evidence of decreasing returns. I propose a more innocuous explanation: high-growth private equity firms were on average lucky in the past and therefore are expected to...
Persistent link: https://www.econbiz.de/10012857664
Cover Image
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
Cover Image
Contracts and Returns in Private Equity Investments
Caselli, Stefano - 2013
We analyze the relationship between contracts and returns in private equity (PE) investments. Contractual control in the form of covenants tends to be employed to identify good deals. Better quality firms are more likely to have covenant-rich contracts, as they are less concerned by the...
Persistent link: https://www.econbiz.de/10013095256