Risk Adjustment in Private Equity Returns

IF 5 3区 经济学 Q1 BUSINESS, FINANCE
Arthur Korteweg
{"title":"Risk Adjustment in Private Equity Returns","authors":"Arthur Korteweg","doi":"10.1146/annurev-financial-110118-123057","DOIUrl":null,"url":null,"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.","PeriodicalId":47162,"journal":{"name":"Annual Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":5.0000,"publicationDate":"2019-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annual Review of Financial Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1146/annurev-financial-110118-123057","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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。
求助全文
约1分钟内获得全文 求助全文
来源期刊
CiteScore
5.00
自引率
0.00%
发文量
26
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信