| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14144 |
| 来源ID | Working Paper 14144 |
| 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 | |
| 发表日期 | 2008-06-27 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w14144 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571819 |
| 推荐引用方式 GB/T 7714 | Joost Driessen,Tse-Chun Lin,Ludovic Phalippou. A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14144.pdf（361KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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