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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w28691 |
来源ID | Working Paper 28691 |
Discount Rate Risk in Private Equity: Evidence from Secondary Market Transactions | |
Brian Boyer; Taylor D. Nadauld; Keith P. Vorkink; Michael S. Weisbach | |
发表日期 | 2021-04-19 |
出版年 | 2021 |
语种 | 英语 |
摘要 | Standard measures of private equity performance based on cash flows overlook discount rate risk. An index constructed from prices paid in secondary market transactions indicates that private equity discount rates vary considerably. While the standard alpha for our index is zero, measures of performance based on cash flow data for funds in our index are large and positive. To illustrate that results are not driven by idiosyncrasies of private equity secondary markets, we obtain similar results using cash flows and returns of synthetic funds that invest in small cap stocks. Ignoring variation in PE discount rates can lead to a misallocation of capital. |
主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
URL | https://www.nber.org/papers/w28691 |
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/586363 |
推荐引用方式 GB/T 7714 | Brian Boyer,Taylor D. Nadauld,Keith P. Vorkink,et al. Discount Rate Risk in Private Equity: Evidence from Secondary Market Transactions. 2021. |
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 | ||
w28691.pdf(1158KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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