| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17428 |
| 来源ID | Working Paper 17428 |
| Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity | |
| David T. Robinson; Berk A. Sensoy | |
| 发表日期 | 2011-09-15 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Public and private equity waves move together. Using quarterly cash-flow data for a large sample of venture capital and buyout funds from 1984-2010, we investigate the implications of this co-cyclicality for understanding private equity cash flows and performance. In the cross-section, varying the beta used to assess relative performance has a large effect on inference near a beta of zero, but only a modest effect for more reasonable beta estimates. A similar message comes through in the time series. Though funds raised in hot markets underperform in absolute terms, this underperformance is sharply reduced by a comparison to the S&P 500, and disappears entirely at the levels of beta recently estimated in the literature. These findings imply that high private equity fundraising forecasts both low private equity cash flows and low market returns, suggesting a positive correlation between private equity net cash flows and public equity valuations. Examining cash flows directly, we find that this is indeed the case. While both capital calls and distributions rise with public equity valuations, distributions are more sensitive than calls. Net cash flows are therefore procyclical and private equity funds are liquidity providers (sinks) when market valuations are high (low). Venture cash flows and performance are considerably more procyclical than buyout. Debt market conditions also have a significant impact on private equity cash flows. At the same time, most cash-flow variation is idiosyncratic across funds, and most predictable variation is explained by the age of the fund. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w17428 |
| 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/575102 |
| 推荐引用方式 GB/T 7714 | David T. Robinson,Berk A. Sensoy. Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity. 2011. |
| 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 | ||
| w17428.pdf（314KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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