Measuring Institutional Investors' Skill at Making Private Equity Investments

• 成果类型: Article
• 署名作者: Cavagnaro, Daniel R.; Sensoy, Berk A.; Wang, Yingdi; Weisbach, Michael S.
• 署名单位: California State University System; California State University Fullerton; Vanderbilt University; University System of Ohio; Ohio State University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12783
• 发表日期: 2019
• 页码: 3089-3134
• 关键词: LIMITED PARTNER PERFORMANCE; mutual fund performance; persistence; returns

摘要

Using a large sample of institutional investors' investments in private equity funds raised between 1991 and 2011, we estimate the extent to which investors' skill affects their returns. Bootstrap analyses show that the variance of actual performance is higher than would be expected by chance, suggesting that some investors consistently outperform. Extending the Bayesian approach of Korteweg and Sorensen, we estimate that a one-standard-deviation increase in skill leads to an increase in annual returns of between one and two percentage points. These results are stronger in the earlier part of the sample period and for venture funds.