| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14241 |
| DP14241 Valuing Private Equity Strip by Strip | |
| Arpit Gupta; Stijn Van Nieuwerburgh | |
| 发表日期 | 2019-12-23 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We propose a new valuation method for private equity investments. First, we construct a cash-flow replicating portfolio for the private investment, applying Machine Learning techniques on cash-flows on various listed equity and fixed income instruments. The second step values the replicating portfolio using a flexible asset pricing model that accurately prices the systematic risk in bonds of different maturities and a broad cross-section of equity factors. The method delivers a measure of the risk-adjusted profit earned on a PE investment and a time series for the expected return on PE fund categories. We apply the method to buyout, venture capital, real estate, and infrastructure funds, among others. Accounting for horizon-dependent risk and exposure to a broad cross-section of equity factors results in negative average risk-adjusted profits. Substantial cross-sectional variation and persistence in performance suggests some funds outperform. We also find declining expected returns on PE funds in the later part of the sample. |
| 主题 | Financial Economics |
| 关键词 | Private equity Valuation Temporal pricing of risk Cross-section of returns Buyout Venture capital Real estate Infrastructure Natural resources Affine asset pricing models |
| URL | https://cepr.org/publications/dp14241 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543127 |
| 推荐引用方式 GB/T 7714 | Arpit Gupta,Stijn Van Nieuwerburgh. DP14241 Valuing Private Equity Strip by Strip. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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