Tail risks and private equity performance

IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Hrvoje Kurtović, Garen Markarian
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引用次数: 0

Abstract

We examine the drivers of private equity in response to the fully exogenous Covid-19 shock, employing listed private equity as a proxy for traditional non-listed private equity. This approach enables us to reliably measure firm characteristics and performance in real-time. Listed private equity firms, on average, underperformed significantly during the crisis, with a performance drop ranging from 9.2 % to 43.6 %, depending on the model used. However, there is substantial cross-sectional variation driven by unique firm-level attributes including access to capital, liquidity, transparency, and ownership structure. Listed private equity with better access to capital and higher transparency shows resilience during the crisis, while higher illiquidity and opacity exacerbate the negative effects. This study offers early evidence on Covid-19′s impact on private equity firms, highlighting value drivers and performance dynamics of this alternative asset class during a period of extreme tail risk.

尾部风险与私募股权投资业绩
我们采用上市私募股权作为传统非上市私募股权的替代品,研究了私募股权在完全外生的 Covid-19 冲击下的驱动因素。这种方法使我们能够可靠地实时衡量公司的特征和表现。平均而言,上市私募股权公司在危机期间的表现明显不佳,根据所用模型的不同,业绩下降幅度从 9.2% 到 43.6% 不等。然而,由于公司层面的独特属性(包括获得资本的机会、流动性、透明度和所有权结构),横截面上的差异也很大。在危机期间,资本获取能力更强、透明度更高的上市私募股权公司表现出了弹性,而流动性较差和不透明则加剧了负面影响。本研究提供了 Covid-19 对私募股权公司影响的早期证据,强调了这一另类资产类别在极端尾部风险时期的价值驱动因素和业绩动态。
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来源期刊
CiteScore
3.40
自引率
3.80%
发文量
59
期刊介绍: The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.
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