The Risk and Performance of Listed Private Equity

IF 0.4 Q4 BUSINESS, FINANCE
Hrvoje Kurtović, G. Markarian, P. Breuer
{"title":"The Risk and Performance of Listed Private Equity","authors":"Hrvoje Kurtović, G. Markarian, P. Breuer","doi":"10.3905/jai.2023.1.191","DOIUrl":null,"url":null,"abstract":"Private equity (PE) risk and performance is a black box for investors, as information is quasi-private during a fund’s life. To overcome this issue, the authors use the universe of listed PEs (LPEs) in US exchanges, which permits the measurement of financial fundamentals based on audited quarterly reports and the observation of share price performance and volatility on a real-time basis. They first show that LPE performance and valuations are highly correlated with those of unlisted PEs and hence are a good proxy. LPEs constantly exhibit leverage double that of the broader market while showing no distinctive share price performance. Controlling for standard determinants of returns, LPE firms do not outperform market benchmarks. Using COVID-19 as an exogenous increase in tail risk, PE firms grossly underperformed, as markets penalized the riskiness and lack of transparency inherent in PE investments. The problems are likely greater in privately held PEs, where performance is self-reported, not audited, and illiquidity periods last up to 10 or 12 years.","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":"26 1","pages":"77 - 94"},"PeriodicalIF":0.4000,"publicationDate":"2023-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Alternative Investments","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jai.2023.1.191","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

Abstract

Private equity (PE) risk and performance is a black box for investors, as information is quasi-private during a fund’s life. To overcome this issue, the authors use the universe of listed PEs (LPEs) in US exchanges, which permits the measurement of financial fundamentals based on audited quarterly reports and the observation of share price performance and volatility on a real-time basis. They first show that LPE performance and valuations are highly correlated with those of unlisted PEs and hence are a good proxy. LPEs constantly exhibit leverage double that of the broader market while showing no distinctive share price performance. Controlling for standard determinants of returns, LPE firms do not outperform market benchmarks. Using COVID-19 as an exogenous increase in tail risk, PE firms grossly underperformed, as markets penalized the riskiness and lack of transparency inherent in PE investments. The problems are likely greater in privately held PEs, where performance is self-reported, not audited, and illiquidity periods last up to 10 or 12 years.
上市私募股权的风险与绩效
私募股权(PE)的风险和业绩对投资者来说是一个黑盒子,因为在基金的生命周期中,信息是准私人的。为了克服这个问题,作者使用了美国交易所上市pe (lpe)的范围,这允许基于经审计的季度报告来衡量财务基本面,并实时观察股价表现和波动性。他们首先表明,LPE的表现和估值与未上市pe的表现和估值高度相关,因此是一个很好的指标。lpe的杠杆率经常是大盘的两倍,而股价表现却没有什么特别之处。控制收益的标准决定因素,LPE公司不会超越市场基准。将COVID-19作为尾部风险的外源性增加,私募股权公司的表现严重不佳,因为市场惩罚了私募股权投资固有的风险和缺乏透明度。私人控股的私募股权公司的问题可能更大,这些公司的业绩是自我报告的,而不是经过审计的,流动性不足的时期长达10年或12年。
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
1.50
自引率
14.30%
发文量
40
期刊介绍: The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices
×
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