Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices

• 成果类型: Article
• 署名作者: Jegadeesh, Narasimhan; Kraeussl, Roman; Pollet, Joshua M.
• 署名单位: Emory University; University of Luxembourg; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv046
• 发表日期: 2015
• 页码: 3269
• 关键词: closed-end funds; performance; FLOWS

摘要

We estimate the risk and expected return of private equity using market prices of publicly traded funds of funds holding unlisted private equity funds and of publicly traded private equity funds participating directly in private equity transactions. We find that the market expects unlisted private equity funds to earn abnormal returns between -0.5% and 2% per year. In addition, private equity has a market beta close to one and a positive beta on the SMB factor. These listed funds exhibit greater systematic risk than an index based on the self-reported net asset value of unlisted private equity funds.