Alternative asset class: publicly traded private equity ; performance, liquidity, diversification potential, and pricing characteristics
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| Format: | Buch |
| Sprache: | English |
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2002
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| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | St. Gallen, Univ., Diss., 2002 |
| Beschreibung: | VII, 179 S. graph. Darst. |
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MARC
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Datensatz im Suchindex
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Contents
LIST OF EXHIBITS V
ABBREVIATIONS VII
CHAPTER 1: INTRODUCTION 1
1.1 Challenges in private equity 2
1.2 Objectives 4
1.3 Structure of the study 5
CHAPTER 2: THE PRIVATE EQUITY MARKET 7
2.1 Definition of private equity 8
2.2 Investing in private equity companies 9
2.2.1 Companies raising private equity 9
2.2.2 Investment activities of a private equity specialist 12
2.2.3 Interconnectivity of the private and public equity market 15
2.2.4 Returns on private equity investments 16
2.3 THE FINANCIAL INVESTOR S PERSPECTIVE 17
2.3.1 Traditional investment possibilities 17
2.3.2 Performance of private equity funds 25
2.3.3 General issues for financial private equity investors 28
2.4 Publicly traded private equity 36
2.4.1 Why go public? 37
2.5 Summary of this chapter 40
CHAPTER 3: PERFORMANCE OF PUBLICLY TRADED PRIVATE EQUITY 43
3.1 Research on performance of publicly traded private equity 44
3.2 Database and sample characteristics 44
3.2.1 The basic sample 44
3.2.2 The restricted sample 47
H 3.2.3 Impact of liquidity constraints 52
3.3 Distributional characteristics 53
3.4 Performance comparison with traditional asset classes 57
3.5 Correlation structure of publicly traded private equity
and traditional asset classes 59
3.6 Detailed investment characteristics of publicly
traded private equity 62
3.6.1 Risk and return of private equity over time 62
3.6.2 The half year effect an anomaly? 63
3.7 Survivorship bias in the year 2000 66
3.7.1 Comparison with mutual and hedge funds 67
3.8 Correlation structure depending on global market movements 69
3.9 Summary of major findings in this chapter 72
CHAPTER 4: LIQUIDITY EFFECTS IN PUBLICLY TRADED
PRIVATE EQUITY 75
4.1 Dimensions of liquidity 76
4.2 Correction for autocorrelation 79
4.2.1 Statistical background 81
4.2.2 Empirical application 83
4.3 Tests of (cross )autocorrelations 85
4.3.1 Methodology 86
4.3.2 Empirical results 88
4.4 Liquidity and publicly traded private equity returns 95
4.4.1 Methodology 96
4.4.2 Empirical results 97
4.5 Summary of major findings in this chapter 103
CHAPTER 5: PUBLICLY TRADED PRIVATE EQUITY IN THE
CONTEXT OF ASSET PRICING 107
5.1 Volatility bounds for stochastic discount factors 109
5.1.1 Theoretical setting 109
Ill
5.1.2 Volatility bounds for traditional stock markets and publicly
traded private equity 113
5.2 Mean variance spanning tests 116
5.2.1 Methodology 116
5.2.2 Empirical results 118
5.3 Relevance of global risk factors for publicly traded private
equity and the comparison to the general stock market 121
5.3.1 Data 122
5.3.2 Estimation results 123
5.4 Evaluation of return differences among private equity
investment categories 126
5.4.1 Testing the market model 127
5.4.2 Additional traded assets as risk factors 135
5.4.3 Estimation results of multi factor models 137
5.4.4 Testing the cross section of private equity investment categories 143
5.5 Summary of major findings in this chapter 148
CHAPTER 6: PRACTICAL IMPLICATIONS OF THE STUDY 151
APPENDIX 159
REFERENCES 165
_v
List of Exhibits
Exhibit 2.1: Functioning of a limited partnership 20
Exhibit 2.2: Typical investors capital employment pattern of a fund 21
Exhibit 2.3: Investment opportunities in private equity 25
Exhibit 2.4: Dispersion of average annual returns per percentile
since inception 27
Exhibit 2.5: Performance trends of buyout and venture funds 28
Exhibit 2.6: Trends in cash flow patterns of venture funds 31
Exhibit 3.1: Distribution and characteristics of publicly traded private
equity companies 49
Exhibit 3.2: Construction and analysis of sample portfolios 53
Exhibit 3.3: Distributional characteristics of publicly traded private
equity companies by their investment style 55
Exhibit 3.4: Risk/return profile of publicly traded private equity
companies by category 56
Exhibit 3.5: Performance comparison with other asset classes 58
Exhibit 3.6: Correlation of publicly traded private equity companies
with traditional asset classes 61
Exhibit 3.7: Risk and return structure over time 62
Exhibit 3.8: Distribution of half yearly returns of the overall
portfolio from 1986 to 2000 63
Exhibit 3.9: Quarterly returns and their distribution 65
Exhibit 3.10: Linear relationship between publicly traded private
equity companies and the stock markets 70
Exhibit 3.11: Positive and negative semi correlations of publicly
traded private equity companies 71
Exhibit 4.1: Market reaction curve 79
Exhibit 4.2: Weekly autocorrelation of the PTPE overall portfolio
and the MSCI World index 80
Exhibit 4.3: Adjusted volatilities for various PTPE portfolios
AND STOCK INDICES 84
Exhibit 4.4: Adjusted correlation coefficients for various PTPE
PORTFOLIOS AND STOCK INDICES 85
Exhibit 4.5 VAR for liquid and illiquid PTPE portfolios 90
VI Exhibit 4.6 Dimson beta regression for zero investment portfolio 93
Exhibit 4.7 Cross sectional regressions on liquidity variables 100
Exhibit 4.8 Cross sectional regressions on liquidity variables 102
Exhibit 5.1: Volatility bounds and the addition of PTPE portfolio 115
Exhibit 5.2: Mean variance spanning test results 120
Exhibit 5.3: t values of the multi factor model of PTPE returns 124
Exhibit 5.4: t values of the multi factor model of MSCI World
returns and ptpe returns 125
Exhibit 5.5: Test results of the global market model 130
Exhibit 5.6: Test results of the private equity market model 132
Exhibit 5.7: Cross section of returns, betas and standard deviations 134
Exhibit 5.8: Influence of each factor on private equity styles 138
Exhibit 5.9: Test results of the five factor model of traded portfolios 139
Exhibit 5.10: Test results of the global risk factor regressions 142
Exhibit 5.11: GMM test results of four factor model 145
Exhibit 5.12: Risk profile for the PTPE categories 147
Exhibit Al: Publicly traded private equity companies by country of origin 159
Exhibit A2: Spearman correlations between relative turnover,
BID ASK SPREAD, CONTINUITY OF TRADING AND MARKET CAPITALIZATION 160
Exhibit A3: Autocorrelations and ADF Test statistics 161
Exhibit A4: Test results of the six factor model of traded portfolios 162
Exhibit A5: GMM test results of four factor model 163
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| indexdate | 2024-07-09T19:00:41Z |
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| language | English |
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| spelling | Bilo, Stéphanie Verfasser aut Alternative asset class publicly traded private equity ; performance, liquidity, diversification potential, and pricing characteristics Stéphanie Bilo 2002 VII, 179 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2002 Freiverkehr (DE-588)4138969-4 gnd rswk-swf Außerbörslicher Wertpapierhandel (DE-588)4419581-3 gnd rswk-swf Risikokapital (DE-588)4124067-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Risikokapital (DE-588)4124067-4 s Freiverkehr (DE-588)4138969-4 s Außerbörslicher Wertpapierhandel (DE-588)4419581-3 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009784757&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bilo, Stéphanie Alternative asset class publicly traded private equity ; performance, liquidity, diversification potential, and pricing characteristics Freiverkehr (DE-588)4138969-4 gnd Außerbörslicher Wertpapierhandel (DE-588)4419581-3 gnd Risikokapital (DE-588)4124067-4 gnd |
| subject_GND | (DE-588)4138969-4 (DE-588)4419581-3 (DE-588)4124067-4 (DE-588)4113937-9 |
| title | Alternative asset class publicly traded private equity ; performance, liquidity, diversification potential, and pricing characteristics |
| title_auth | Alternative asset class publicly traded private equity ; performance, liquidity, diversification potential, and pricing characteristics |
| title_exact_search | Alternative asset class publicly traded private equity ; performance, liquidity, diversification potential, and pricing characteristics |
| title_full | Alternative asset class publicly traded private equity ; performance, liquidity, diversification potential, and pricing characteristics Stéphanie Bilo |
| title_fullStr | Alternative asset class publicly traded private equity ; performance, liquidity, diversification potential, and pricing characteristics Stéphanie Bilo |
| title_full_unstemmed | Alternative asset class publicly traded private equity ; performance, liquidity, diversification potential, and pricing characteristics Stéphanie Bilo |
| title_short | Alternative asset class |
| title_sort | alternative asset class publicly traded private equity performance liquidity diversification potential and pricing characteristics |
| title_sub | publicly traded private equity ; performance, liquidity, diversification potential, and pricing characteristics |
| topic | Freiverkehr (DE-588)4138969-4 gnd Außerbörslicher Wertpapierhandel (DE-588)4419581-3 gnd Risikokapital (DE-588)4124067-4 gnd |
| topic_facet | Freiverkehr Außerbörslicher Wertpapierhandel Risikokapital Hochschulschrift |
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