| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22547 |
| 来源ID | Working Paper 22547 |
| Measuring Institutional Investors\u2019 Skill from Their Investments in Private Equity | |
| Daniel R. Cavagnaro; Berk A. Sensoy; Yingdi Wang; Michael S. Weisbach | |
| 发表日期 | 2016-08-22 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Using a large sample of institutional investors’ private equity investments in venture and buyout funds, we estimate the extent to which investors’ skill affects returns from private equity investments. We first consider whether investors have differential skill by comparing the distribution of investors’ returns relative to the bootstrapped distribution that would occur if funds were randomly distributed across investors. We find that the variance of actual performance is higher than the bootstrapped distribution, suggesting that higher and lower skilled investors consistently outperform and underperform. We then use a Bayesian approach developed by Korteweg and Sorensen (2015) to estimate the incremental effect of skill on performance. The results imply that a one standard deviation increase in skill leads to about a three percentage point increase in returns, suggesting that variation in institutional investors’ skill is an important driver of their returns. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w22547 |
| 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/580221 |
| 推荐引用方式 GB/T 7714 | Daniel R. Cavagnaro,Berk A. Sensoy,Yingdi Wang,et al. Measuring Institutional Investors\u2019 Skill from Their Investments in Private Equity. 2016. |
| 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 | ||
| w22547.pdf（1799KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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。
