Capital Commitment

• 成果类型: Article
• 署名作者: Gourier, Elise; Phalippou, Ludovic; Westerfield, Mark M.
• 署名单位: ESSEC Business School; Centre for Economic Policy Research - UK; University of Oxford; University of Washington; University of Washington Seattle
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13382
• 发表日期: 2024
• 关键词: portfolio choice; PRIVATE; liquidity; determinants; consumption

摘要

Twelve trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand. We show within a novel dynamic portfolio allocation model that ex-ante commitment has large effects on investors' portfolios and welfare, and we quantify those effects. Investors are underallocated to private market funds and are willing to pay a larger premium to adjust the quantity committed than to eliminate other frictions, like timing uncertainty and limited tradability. Perhaps counterintuitively, commitment risk premiums increase with secondary market liquidity, and they do not disappear when investments are spread over many funds.