Risk, returns, and biases of listed private equity portfolios
AbstractThis is the first empirical paper investigating a comprehensive sample of listed (i.e. publicly traded) private equity companies, covering 287 companies in the time period 1986 to 2003. After imposing liquidity constraints, and after correcting for non-surviving vehicles, we get a sample of 114 instruments. The risk and return characteristics of three portfolio strategies, two partially rebalanced and one fully rebalanced, are compared. We moreover address potential biases resulting from thin trading, the bid-ask spread, and sample selection. We show that the adjusted performance figures differ substantially from standard estimates. But even after correcting for these biases, we find a high risk-adjusted performance of this asset class before 2000, and dramatic different results between the three indices if we extend the time period to 2003.Listed private equity, Private equity, Performance biases
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Bibliographic InfoPaper provided by Faculty of Business and Economics - University of Basel in its series Working papers with number 2005/01.
Date of creation: 2005
Date of revision:
Listed private equity; Private equity; Performance biases;
Find related papers by JEL classification:
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
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- Narasimhan Jegadeesh & Roman Kräussl & Joshua Pollet, 2009.
"Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices,"
NBER Working Papers
15335, National Bureau of Economic Research, Inc.
- Jegadeesh, Narasimhan & Kräussl, Roman & Pollet, Joshua, 2010. "Risk and expected returns of private equity investments: Evidence based on market prices," CFS Working Paper Series 2010/04, Center for Financial Studies (CFS).
- Lossen, Ulrich, 2006. "The Performance of Private Equity Funds: Does Diversification Matter?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 192, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
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