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来源类型Working Paper
规范类型报告
DOI10.3386/w28691
来源IDWorking 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
URLhttps://www.nber.org/papers/w28691
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/586363
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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.
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