A new method to estimate risk and return of non-traded assets from cash flows: the case of private equity funds
"We develop a new GMM-style methodology with good small-sample properties to assess the abnormal performance and risk exposure of a non-traded asset from a cross-section of cash flow data. We apply this method to a sample of 958 mature private equity funds spanning 24 years. Our methodology use...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2008
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
14144 |
| Online-Zugang: | kostenfrei |
| Zusammenfassung: | "We develop a new GMM-style methodology with good small-sample properties to assess the abnormal performance and risk exposure of a non-traded asset from a cross-section of cash flow data. We apply this method to a sample of 958 mature private equity funds spanning 24 years. Our methodology uses actual cash flow data and not intermediary self-reported Net Asset Values. In addition, it does not require a distributional assumption for returns. For venture capital funds, we find a high market beta and significant under-performance. For buyout funds, we find a low beta and no abnormal performance, but the sample is small. Larger funds have higher returns due to higher risk exposures and not higher alphas. We also find that Net Asset Values significantly overstate fund market values for the subset of mature and inactive funds"--National Bureau of Economic Research web site |
| Beschreibung: | 50 S. graph. Darst. 22 cm |
Internformat
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| 245 | 1 | 0 | |a A new method to estimate risk and return of non-traded assets from cash flows |b the case of private equity funds |c Joost Driessen ; Tse-Chun Lin ; Ludovic Phalippou |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 2008 | |
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 14144 | |
| 520 | 8 | |a "We develop a new GMM-style methodology with good small-sample properties to assess the abnormal performance and risk exposure of a non-traded asset from a cross-section of cash flow data. We apply this method to a sample of 958 mature private equity funds spanning 24 years. Our methodology uses actual cash flow data and not intermediary self-reported Net Asset Values. In addition, it does not require a distributional assumption for returns. For venture capital funds, we find a high market beta and significant under-performance. For buyout funds, we find a low beta and no abnormal performance, but the sample is small. Larger funds have higher returns due to higher risk exposures and not higher alphas. We also find that Net Asset Values significantly overstate fund market values for the subset of mature and inactive funds"--National Bureau of Economic Research web site | |
| 700 | 1 | |a Lin, Tse-Chun |e Verfasser |4 aut | |
| 700 | 1 | |a Phalippou, Ludovic |d 1976- |e Verfasser |0 (DE-588)130393428 |4 aut | |
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| 810 | 2 | |a National Bureau of Economic Research <Cambridge, Mass.> |t NBER working paper series |v 14144 |w (DE-604)BV002801238 |9 14144 | |
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Datensatz im Suchindex
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| id | DE-604.BV023594021 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:32Z |
| indexdate | 2024-07-09T21:25:16Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016909351 |
| oclc_num | 254889120 |
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| physical | 50 S. graph. Darst. 22 cm |
| publishDate | 2008 |
| publishDateSearch | 2008 |
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| publisher | National Bureau of Economic Research |
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| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Driessen, Joost 1974- Verfasser (DE-588)129192546 aut A new method to estimate risk and return of non-traded assets from cash flows the case of private equity funds Joost Driessen ; Tse-Chun Lin ; Ludovic Phalippou Cambridge, Mass. National Bureau of Economic Research 2008 50 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 14144 "We develop a new GMM-style methodology with good small-sample properties to assess the abnormal performance and risk exposure of a non-traded asset from a cross-section of cash flow data. We apply this method to a sample of 958 mature private equity funds spanning 24 years. Our methodology uses actual cash flow data and not intermediary self-reported Net Asset Values. In addition, it does not require a distributional assumption for returns. For venture capital funds, we find a high market beta and significant under-performance. For buyout funds, we find a low beta and no abnormal performance, but the sample is small. Larger funds have higher returns due to higher risk exposures and not higher alphas. We also find that Net Asset Values significantly overstate fund market values for the subset of mature and inactive funds"--National Bureau of Economic Research web site Lin, Tse-Chun Verfasser aut Phalippou, Ludovic 1976- Verfasser (DE-588)130393428 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 14144 (DE-604)BV002801238 14144 http://papers.nber.org/papers/w14144.pdf kostenfrei Volltext |
| spellingShingle | Driessen, Joost 1974- Lin, Tse-Chun Phalippou, Ludovic 1976- A new method to estimate risk and return of non-traded assets from cash flows the case of private equity funds |
| title | A new method to estimate risk and return of non-traded assets from cash flows the case of private equity funds |
| title_auth | A new method to estimate risk and return of non-traded assets from cash flows the case of private equity funds |
| title_exact_search | A new method to estimate risk and return of non-traded assets from cash flows the case of private equity funds |
| title_exact_search_txtP | A new method to estimate risk and return of non-traded assets from cash flows the case of private equity funds |
| title_full | A new method to estimate risk and return of non-traded assets from cash flows the case of private equity funds Joost Driessen ; Tse-Chun Lin ; Ludovic Phalippou |
| title_fullStr | A new method to estimate risk and return of non-traded assets from cash flows the case of private equity funds Joost Driessen ; Tse-Chun Lin ; Ludovic Phalippou |
| title_full_unstemmed | A new method to estimate risk and return of non-traded assets from cash flows the case of private equity funds Joost Driessen ; Tse-Chun Lin ; Ludovic Phalippou |
| title_short | A new method to estimate risk and return of non-traded assets from cash flows |
| title_sort | a new method to estimate risk and return of non traded assets from cash flows the case of private equity funds |
| title_sub | the case of private equity funds |
| url | http://papers.nber.org/papers/w14144.pdf |
| volume_link | (DE-604)BV002801238 |
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