Private Equity Performance and Liquidity Risk

• 成果类型: Article
• 署名作者: Franzoni, Francesco; Nowak, Eric; Phalippou, Ludovic
• 署名单位: Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of Oxford; University of Oxford
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01788.x
• 发表日期: 2012
• 页码: 2341-2373
• 关键词: investment performance; returns; STOCK; buyouts

摘要

Private equity has traditionally been thought to provide diversification benefits. However, these benefits may be lower than anticipated as we find that private equity suffers from significant exposure to the same liquidity risk factor as public equity and other alternative asset classes. The unconditional liquidity risk premium is about 3% annually and, in a four-factor model, the inclusion of this liquidity risk premium reduces alpha to zero. In addition, we provide evidence that the link between private equity returns and overall market liquidity occurs via a funding liquidity channel.