| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26514 |
| 来源ID | Working Paper 26514 |
| Valuing Private Equity Strip by Strip | |
| Arpit Gupta; Stijn Van Nieuwerburgh | |
| 发表日期 | 2019-12-02 |
| 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 ; Portfolio Selection and Asset Pricing ; Financial Institutions ; Corporate Finance ; Regional and Urban Economics ; Real Estate |
| URL | https://www.nber.org/papers/w26514 |
| 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/584186 |
| 推荐引用方式 GB/T 7714 | Arpit Gupta,Stijn Van Nieuwerburgh. Valuing Private Equity Strip by Strip. 2019. |
| 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 | ||
| w26514.pdf（1353KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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