Risk Adjustment in Private Equity Returns

IF 5 3区 经济学 Q1 BUSINESS, FINANCE
Arthur Korteweg
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引用次数: 0

Abstract

This article reviews empirical methods to assess risk and return in private equity. I discuss data and econometric issues for fund-level, deal-level, and publicly traded partnerships data. Risk-adjusted return estimates vary substantially by method, time period, and data source. The weight of evidence suggests that, relative to a similarly risky investment in the stock market, the average venture capital (VC) fund earned positive risk-adjusted returns before the turn of the millennium, but net-of-fee returns have been zero or even negative since. Average leveraged buyout (BO) investments have generally earned positive risk-adjusted returns both before and after fees, compared with a levered stock portfolio. Based on an expanded set of risk factors from the literature, VC resembles a small-growth investment, while BO loads mostly on value. I also discuss the empirical evidence on liquidity and idiosyncratic volatility risks.
私募股权回报中的风险调整
本文回顾了私募股权投资风险与收益评估的实证方法。我讨论了基金层面、交易层面和公开交易伙伴关系数据的数据和计量经济学问题。风险调整后的收益估计因方法、时间段和数据来源而有很大差异。证据的权重表明,相对于类似风险的股票市场投资,在千禧年之前,风险资本(VC)基金的平均风险调整收益为正,但自那以后,净费用收益为零甚至为负。与杠杆股票投资组合相比,平均杠杆收购(BO)投资在扣除费用和扣除费用后,通常都获得了正的风险调整回报。根据文献中扩大的风险因素集,风险投资类似于一种小增长投资,而BO则主要依赖于价值。我还讨论了流动性和特殊波动风险的经验证据。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
5.00
自引率
0.00%
发文量
26
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