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Conference Paper: A new method to estimate risk and return of non-traded assets from cash flows: the case of private equity funds

TitleA new method to estimate risk and return of non-traded assets from cash flows: the case of private equity funds
Authors
Driessen, JLin, TCPhalippou, L
KeywordsRisk exposure
Abnormal return
Private equity
Issue Date2007
PublisherThe Swedish Institute of Financial Research (SIFR)
Citation
Swedish Institute for Financial Research (SIFR) Conference: the Economics of the Private Equity Market, Stockholm, Sweden, 30-31 August 2007 How to Cite?
AbstractWe develop a new methodology to estimate abnormal performance and risk exposure of non-traded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method to a sample of 958 private equity funds. For venture capital funds, we find a high market beta and underperformance before and after fees. For buyout funds, we find a relatively low market beta and no evidence for outperformance. We find that self-reported net asset values significantly overstate fund values for mature and inactive funds.
DescriptionEFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper, NBER Working Paper No. W14144
Persistent Identifierhttp://hdl.handle.net/10722/127833
SSRN
965917

 

DC FieldValueLanguage
dc.contributor.authorDriessen, Jen_HK
dc.contributor.authorLin, TCen_HK
dc.contributor.authorPhalippou, Len_HK
dc.date.accessioned2010-10-31T13:49:11Z-
dc.date.available2010-10-31T13:49:11Z-
dc.date.issued2007en_HK
dc.identifier.citationSwedish Institute for Financial Research (SIFR) Conference: the Economics of the Private Equity Market, Stockholm, Sweden, 30-31 August 2007en_HK
dc.identifier.urihttp://hdl.handle.net/10722/127833-
dc.descriptionEFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper, NBER Working Paper No. W14144-
dc.description.abstractWe develop a new methodology to estimate abnormal performance and risk exposure of non-traded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method to a sample of 958 private equity funds. For venture capital funds, we find a high market beta and underperformance before and after fees. For buyout funds, we find a relatively low market beta and no evidence for outperformance. We find that self-reported net asset values significantly overstate fund values for mature and inactive funds.en_HK
dc.languageengen_HK
dc.publisherThe Swedish Institute of Financial Research (SIFR)en_HK
dc.relation.ispartofSwedish Institute for Financial Research (SIFR) Conferenceen_HK
dc.subjectRisk exposure-
dc.subjectAbnormal return-
dc.subjectPrivate equity-
dc.titleA new method to estimate risk and return of non-traded assets from cash flows: the case of private equity fundsen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailLin, TC: tsechunlin@hku.hken_HK
dc.identifier.authorityLin, TC=rp01077en_HK
dc.description.naturelink_to_OA_fulltext-
dc.identifier.hkuros173646en_HK
dc.identifier.spage511en_HK
dc.publisher.placeStockholm, Swedenen_HK
dc.identifier.ssrn965917-
dc.description.otherSwedish Institute for Financial Research (SIFR) Conference: the Economics of the Private Equity Market, Stockholm, Sweden, 30-31 August 2007-
dc.identifier.scopusauthoridDriessen, J=7004849276en_HK
dc.identifier.scopusauthoridLin, TC=55293326500en_HK
dc.identifier.scopusauthoridPhalippou, L=23100735000en_HK
dc.customcontrol.immutablesml 130423; csl 160728-

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