Advanced Search
MyIDEAS: Login to save this paper or follow this series

Risk, returns, and biases of listed private equity portfolios


Author Info

  • Stéphanie Bilo
  • Hans Christophers
  • Michèl Degosciu
  • Heinz Zimmermann

    (University of Basel)

Registered author(s):


    This 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

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    Download Restriction: no

    Bibliographic Info

    Paper provided by Faculty of Business and Economics - University of Basel in its series Working papers with number 2005/01.

    as in new window
    Date of creation: 2005
    Date of revision:
    Handle: RePEc:bsl:wpaper:2005/01

    Contact details of provider:
    Postal: Peter-Merian-Weg 6, Postfach, CH-4002 Basel
    Web page:
    More information through EDIRC

    Related research

    Keywords: Listed private equity; Private equity; Performance biases;

    Find related papers by JEL classification:


    No references listed on IDEAS
    You can help add them by filling out this form.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. 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.
    2. 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.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:bsl:wpaper:2005/01. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (WWZ).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.