| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15335 |
| 来源ID | Working Paper 15335 |
| Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices | |
| Narasimhan Jegadeesh; Roman Kräussl; Joshua Pollet | |
| 发表日期 | 2009-09-10 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We estimate the risk and expected returns of private equity investments based on the market prices of exchange-traded funds of funds that invest in unlisted private equity funds. Our results indicate that the market expects unlisted private equity funds to earn abnormal returns of approximately 1% per year. We also find that the market expects listed private equity funds to earn zero or marginally negative abnormal returns net of fees. Both listed and unlisted private equity funds have market betas close to one and positive factor loadings on the Fama-French SMB factor. Private equity fund returns are positively related to GDP growth and negatively related to the credit spread. In addition, we find that market returns of exchange traded funds of funds and listed private equity funds predict changes in self-reported book values of unlisted private equity funds. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w15335 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573010 |
| 推荐引用方式 GB/T 7714 | Narasimhan Jegadeesh,Roman Kräussl,Joshua Pollet. Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15335.pdf（258KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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