| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16910 |
| DP16910 Capital Commitment | |
| Elise Gourier; Ludovic Phalippou; Mark Westerfield | |
| 发表日期 | 2022-01-16 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Over ten trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand; most of these funds are Private Equity (PE). We show within a novel dynamic portfolio allocation model that ex-ante commitment has large effects on investors’ portfolios and welfare, and we quantify those effects. Investors are under-allocated to PE and are willing to pay a larger premium to adjust the quantity committed than to eliminate other frictions, like timing uncertainty and limited tradability. Perhaps counter-intuitively, commitment risk premiums increase with secondary market liquidity and they do not disappear even if investments are spread over many funds. |
| 主题 | Financial Economics |
| 关键词 | Capital commitment Private equity Commitment risk Liquidity premium |
| URL | https://cepr.org/publications/dp16910 |
| 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/545841 |
| 推荐引用方式 GB/T 7714 | Elise Gourier,Ludovic Phalippou,Mark Westerfield. DP16910 Capital Commitment. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
