Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting

• 成果类型: Article
• 署名作者: Stafford, Erik
• 署名单位: Harvard University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab020
• 发表日期: 2022
• 页码: 299
• 关键词: OPERATING PERFORMANCE; INVESTMENTS EVIDENCE; BUYOUTS EVIDENCE; cash flow; RISK; returns; hedge; cost; determinants; equilibrium

摘要

The contributions of asset selection and incremental leverage to buyout investment performance are more important than typically assumed or estimated to be. Buyout funds select small firms with distinct value characteristics. Public equities with these characteristics have high risk-adjusted returns relative to common factors. Adding incremental leverage to a publicly traded stock portfolio increases both risks and mean returns in this sample. Direct investments in private equity funds earn lower mean returns than a replicating strategy designed to mimic these key economic features of their investment process with public equities and brokerage loans.