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Private Equity Performance and Liquidity Risk

Citations

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Cited by:

  1. Buchner, Axel, 2016. "How much can lack of marketability affect private equity fund values?," Review of Financial Economics, Elsevier, vol. 28(C), pages 35-45.
  2. Degeorge, Francois & Martin, Jens & Phalippou, Ludovic, 2016. "On secondary buyouts," Journal of Financial Economics, Elsevier, vol. 120(1), pages 124-145.
  3. Matthias Huss & Heinz Zimmermann, 2018. "The Pricing of Liquidity Risk in Buyout Funds – A Public Market Perspective," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 70(3), pages 285-312, July.
  4. Godwin, Alexander, 2022. "Estimating illiquid asset class alpha and beta using secondary transaction prices," MPRA Paper 112510, University Library of Munich, Germany.
  5. Uppal, Raman & Vilkov, Grigory & Buss, Adrian, 2015. "Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets," CEPR Discussion Papers 10437, C.E.P.R. Discussion Papers.
  6. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
  7. Ljungqvist, Alexander & Bircan, Cagatay & Biesinger, Markus, 2020. "Value Creation in Private Equity," CEPR Discussion Papers 14676, C.E.P.R. Discussion Papers.
  8. Martin Hoesli & Anjeza Kadilli & Kustrim Reka, 2017. "Commonality in Liquidity and Real Estate Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 55(1), pages 65-105, July.
  9. Franke, Benedikt & Müller, Sebastian & Müller, Sonja, 2017. "The q-factors and expected bond returns," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 19-35.
  10. Stephen G. Dimmock & Neng Wang & Jinqiang Yang, 2024. "The Endowment Model and Modern Portfolio Theory," Management Science, INFORMS, vol. 70(3), pages 1554-1579, March.
  11. Dorinth van Dijk & Marc Francke & Yumei Wang, 2025. "The Dynamic Relationship between Delinquency Rates, Funding and Market Liquidity and Asset Prices in Private Commercial Real Estate Markets," Working Papers 835, DNB.
  12. Liang Peng & Lei Zhang, 2021. "House Prices and Systematic Risk: Evidence from Microdata," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(4), pages 1069-1092, December.
  13. Dong, Qi & Slovin, Myron B. & Sushka, Marie E., 2020. "Private equity exits after IPOs," Journal of Corporate Finance, Elsevier, vol. 64(C).
  14. Péter Kondor & Dimitri Vayanos, 2019. "Liquidity Risk and the Dynamics of Arbitrage Capital," Journal of Finance, American Finance Association, vol. 74(3), pages 1139-1173, June.
  15. Narasimhan Jegadeesh & Roman Kräussl & Joshua M. Pollet, 2015. "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," The Review of Financial Studies, Society for Financial Studies, vol. 28(12), pages 3269-3302.
  16. David C. Ling & Andy Naranjo & Benjamin Scheick, 2016. "Credit Availability and Asset Pricing Dynamics in Illiquid Markets: Evidence from Commercial Real Estate Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(7), pages 1321-1362, October.
  17. X. Zhang & L. D. Valdez & H. E. Stanley & L. A. Braunstein, 2019. "Modeling Risk Contagion in the Venture Capital Market: A Multilayer Network Approach," Complexity, Hindawi, vol. 2019, pages 1-11, December.
  18. Arthur Korteweg & Stefan Nagel, 2016. "Risk‐Adjusting the Returns to Venture Capital," Journal of Finance, American Finance Association, vol. 71(3), pages 1437-1470, June.
  19. Mi, Michelle Xuan & Masih, Rumi, 2025. "How resilient are PE/VC returns to real shocks?," Global Finance Journal, Elsevier, vol. 68(C).
  20. Sirio Aramonte & Fernando Avalos, 2021. "The rise of private markets," BIS Quarterly Review, Bank for International Settlements, December.
  21. Uppal, Raman & Buss, Adrian & Vilkov, Grigory, 2017. "Financial Innovation and Asset Prices," CEPR Discussion Papers 12416, C.E.P.R. Discussion Papers.
  22. Buchner, Axel, 2016. "Dealing with non-normality when estimating abnormal returns and systematic risk of private equity: A closed-form solution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 60-78.
  23. Fragkiskos, Apollon & Krasotkina, Olga & Spilker, Harold D. & Wermers, Russ, 2025. "Private Equity Fund Performance: A Time-Series Approach," Journal of Banking & Finance, Elsevier, vol. 177(C).
  24. Pástor, Luboš & Stambaugh, Robert F., 2019. "Liquidity Risk After 20 Years," Critical Finance Review, now publishers, vol. 8(1-2), pages 277-299, December.
  25. Agarwal, Vikas & Barber, Brad M. & Cheng, Si & Hameed, Allaudeen & Shanker, Harshini & Yasuda, Ayako, 2023. "Do investors overvalue startups? Evidence from the junior stakes of mutual funds," CFR Working Papers 23-04, University of Cologne, Centre for Financial Research (CFR).
  26. Sunaryo Sunaryo & Alvia Santoni & Endri Endri & Muhammad Nusjirwan Harahap, 2020. "Determinants of Capital Adequacy Ratio for Pension Funds: A Case Study in Indonesia," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(4), pages 203-213, July.
  27. Daniel Wurstbauer & Wolfgang Schäfers, 2015. "Inflation hedging and protection characteristics of infrastructure and real estate assets," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 33(1), pages 19-44, February.
  28. Axel Buchner & Susanne Espenlaub & Arif Khurshed & Abdulkadir Mohamed, 2018. "Cross-border venture capital investments: The impact of foreignness on returns," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 49(5), pages 575-604, July.
  29. Vikas Agarwal & Brad Barber & Si Cheng & Allaudeen Hameed & Ayako Yasuda, 2023. "Private Company Valuations by Mutual Funds," Review of Finance, European Finance Association, vol. 27(2), pages 693-738.
  30. Conghui Hu & Zhibing Li & Xiaoyu Liu, 2020. "Liquidity shocks, commodity financialization, and market comovements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1315-1336, September.
  31. Arcot, Sridhar & Fluck, Zsuzsanna & Gaspar, José-Miguel & Hege, Ulrich, 2015. "Fund managers under pressure: Rationale and determinants of secondary buyouts," Journal of Financial Economics, Elsevier, vol. 115(1), pages 102-135.
  32. Richard Guay & Laurence Allaire, 2013. "Long-Term Returns: a Reality Check for Pension Funds and Retirement Savers," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 395, December.
  33. Axel Buchner & Susanne Espenlaub & Arif Khurshed & Abdulkadir Mohamed, 2024. "Private Debt and the Role of Venture Capital and Private Equity Sponsors," Management Science, INFORMS, vol. 70(1), pages 372-395, January.
  34. Broeders, Dirk W. G. A. & Jansen, Kristy A. E. & Werker, Bas J. M., 2021. "Pension fund's illiquid assets allocation under liquidity and capital requirements," Journal of Pension Economics and Finance, Cambridge University Press, vol. 20(1), pages 102-124, January.
  35. Daniel Dimitrov, 2025. "Untangling Illiquidity: Optimal Asset Allocation with Private Asset Classes," Working Papers 827, DNB.
  36. Larissa Batrancea, 2020. "An Econometric Approach on Performance and Financial Equilibrium during the COVID-19 Pandemic," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 801-808, December.
  37. Korteweg, Arthur & Sorensen, Morten, 2017. "Skill and luck in private equity performance," Journal of Financial Economics, Elsevier, vol. 124(3), pages 535-562.
  38. Andrew Ang & Andrés Ayala & William N. Goetzmann, 2018. "Investment beliefs of endowments," European Financial Management, European Financial Management Association, vol. 24(1), pages 3-33, January.
  39. Serge Darolles & Sara Ain Tommar, 2017. "Permanent capital, permanent struggle? New evidence from listed private equity," Post-Print hal-04582271, HAL.
  40. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
  41. Robinson, David T. & Sensoy, Berk A., 2016. "Cyclicality, performance measurement, and cash flow liquidity in private equity," Journal of Financial Economics, Elsevier, vol. 122(3), pages 521-543.
  42. Axel Buchner, 2016. "How much can lack of marketability affect private equity fund values?," Review of Financial Economics, John Wiley & Sons, vol. 28(1), pages 35-45, January.
  43. Becher, David & Jensen, Tyler K. & Liu, Tingting, 2020. "Acquisitions and funding conditions," Journal of Corporate Finance, Elsevier, vol. 65(C).
  44. Andrew Ang & Morten Sorensen, 2012. "Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-27.
  45. Farrelly, Kieran & Stevenson, Simon, 2019. "The risk and return of private equity real estate funds," Global Finance Journal, Elsevier, vol. 42(C).
  46. Dirk Broeders & Kristy Jansen & Bas Werker, 2017. "Pension fund's illiquid assets allocation under liquidity and capital constraints," DNB Working Papers 555, Netherlands Central Bank, Research Department.
  47. Buchner, Axel & Mohamed, Abdulkadir & Schwienbacher, Armin, 2020. "Herd behaviour in buyout investments," Journal of Corporate Finance, Elsevier, vol. 60(C).
  48. Moritz Wehking & Tim Alexander Herberger, 2025. "Sector-based portfolio changes of private equity funds during economic shocks," Journal of Asset Management, Palgrave Macmillan, vol. 26(6), pages 697-706, October.
  49. Waheed CHICKTAY & Brian BARNARD, 2019. "Venture Capital Process: Opportunity Selection, Monitoring, Capital Rationing, and Deal Flow," Expert Journal of Finance, Sprint Investify, vol. 7(1), pages 22-38.
  50. Boyer, Brian & Nadauld, Taylor D. & Vorkink, Keith P. & Weisbach, Michael S., 2018. "Private Equity Indices Based on Secondary Market Transactions," Working Paper Series 2018-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  51. Dorra Najar, 2017. "Private equity managers’ fees: estimation and sensitivity analysis using Monte Carlo simulation," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 239-263, January.
  52. Ji Liu & Zheng Xu & Yanmei Zhang & Wei Dai & Hao Wu & Shiping Chen, 2022. "Digging into Primary Financial Market: Challenges and Opportunities of Adopting Blockchain," Papers 2204.09544, arXiv.org.
  53. David C. Ling & Andy Naranjo & Benjamin Scheick, 2014. "Investor Sentiment, Limits to Arbitrage and Private Market Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 531-577, September.
  54. Buchner, Axel & Wagner, Niklas F., 2017. "Rewarding risk-taking or skill? The case of private equity fund managers," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 14-32.
  55. Duca, John V. & Sanchez-Colburn, Franklin, 2025. "What drives U.S. corporate private equity? An historical perspective," Journal of Financial Stability, Elsevier, vol. 78(C).
  56. Buchner, Axel & Mohamed, Abdulkadir & Schwienbacher, Armin, 2016. "Does risk explain persistence in private equity performance?," Journal of Corporate Finance, Elsevier, vol. 39(C), pages 18-35.
  57. Axel Buchner & Pia Helbing & Abdulkadir Mohamed & Hyungseok David Yoon, 2025. "Does the same investment team create value? Evidence from venture capital syndication," Small Business Economics, Springer, vol. 65(4), pages 2331-2360, December.
  58. Prosper Lamothe-Fernández & Eduardo García-Argüelles & Sergio Manuel Fernández-Miguélez & Omar Hassani-Zerrouk, 2025. "Determining Drivers of Private Equity Return with Computational Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 65(1), pages 483-505, January.
  59. Martin Eling, 2013. "Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2011 Update," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 16(1), pages 35-46, March.
  60. Brown, Gregory W. & Gredil, Oleg R. & Kaplan, Steven N., 2019. "Do private equity funds manipulate reported returns?," Journal of Financial Economics, Elsevier, vol. 132(2), pages 267-297.
  61. Sakshi Sharma & Kunjana Malik & Manmeet Kaur & Neha Saini, 2023. "Mapping research in the field of private equity: a bibliometric analysis," Management Review Quarterly, Springer, vol. 73(1), pages 61-89, February.
  62. Michael Heinrich & Thomas Schreck, 2017. "Effects of Solvency II on Portfolio Efficiency, The Case of Real Estate and Infrastructure Investments," LARES lares_2017_paper_8, Latin American Real Estate Society (LARES).
  63. Sandeep Dahiya & David Yermack, 2018. "Investment Returns and Distribution Policies of Non-Profit Endowment Funds," NBER Working Papers 25323, National Bureau of Economic Research, Inc.
  64. Kräussl, Roman & Rinne, Kalle & Sunc, Huizhu, 2023. "Does family matter? Venture capital cross-fund cash flows," CFS Working Paper Series 695, Center for Financial Studies (CFS).
  65. Jianhua Gang & Liang Peng & Thomas G. Thibodeau, 2020. "Risk and Returns of Income Producing Properties: Core versus Noncore," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(2), pages 476-503, June.
  66. Acharya, Viral V. & Pedersen, Lasse Heje, 2019. "Economics with Market Liquidity Risk," Critical Finance Review, now publishers, vol. 8(1-2), pages 111-125, December.
  67. Kurtović, Hrvoje & Markarian, Garen, 2024. "Tail risks and private equity performance," Journal of Empirical Finance, Elsevier, vol. 75(C).
  68. Buchner, Axel & Mohamed, Abdulkadir & Schwienbacher, Armin, 2017. "Diversification, risk, and returns in venture capital," Journal of Business Venturing, Elsevier, vol. 32(5), pages 519-535.
  69. Jansen, Kristy, 2021. "Essays on institutional investors, portfolio choice, and asset prices," Other publications TiSEM fd998408-d282-4e0f-b542-4, Tilburg University, School of Economics and Management.
  70. Diego Leal Gonzalez & Bryan Stanhouse & Duane Stock & Xin Yue Zhou, 2025. "Nonlinear structural estimation of corporate bond liquidity," Review of Quantitative Finance and Accounting, Springer, vol. 64(2), pages 799-827, February.
  71. Buchner, Axel, 2016. "Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions," Finance Research Letters, Elsevier, vol. 16(C), pages 154-161.
  72. Loic Mar'echal & Alain Mermoud & Dimitri Percia David & Mathias Humbert, 2024. "Measuring the performance of investments in information security startups: An empirical analysis by cybersecurity sectors using Crunchbase data," Papers 2402.04765, arXiv.org, revised Feb 2024.
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