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- Publisher Website: 10.1017/S0022109012000221
- Scopus: eid_2-s2.0-84865428119
- WOS: WOS:000308256500002
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Article: 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 |
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Authors | |
Issue Date | 2012 |
Citation | Journal of Financial and Quantitative Analysis, 2012, v. 47, p. 511-535 How to Cite? |
Abstract | We 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. We develop a new methodology to estimate abnormal performance and risk exposure of nontraded 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. © Copyright 2012 Michael G. Foster School of Business, University of Washington. |
Persistent Identifier | http://hdl.handle.net/10722/227464 |
ISSN | 2023 Impact Factor: 3.7 2023 SCImago Journal Rankings: 3.980 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Lin, TC | - |
dc.contributor.author | Driessen, J | - |
dc.contributor.author | Phalippou, L | - |
dc.date.accessioned | 2016-07-18T09:10:53Z | - |
dc.date.available | 2016-07-18T09:10:53Z | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | Journal of Financial and Quantitative Analysis, 2012, v. 47, p. 511-535 | - |
dc.identifier.issn | 0022-1090 | - |
dc.identifier.uri | http://hdl.handle.net/10722/227464 | - |
dc.description.abstract | We 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. | - |
dc.description.abstract | We develop a new methodology to estimate abnormal performance and risk exposure of nontraded 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. © Copyright 2012 Michael G. Foster School of Business, University of Washington. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Financial and Quantitative Analysis | - |
dc.title | A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds | - |
dc.type | Article | - |
dc.identifier.email | Lin, TC: chunlin@hku.hk | - |
dc.identifier.authority | Lin, TC=rp01077 | - |
dc.identifier.doi | 10.1017/S0022109012000221 | - |
dc.identifier.scopus | eid_2-s2.0-84865428119 | - |
dc.identifier.hkuros | 259303 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-84865428119&selection=ref&src=s&origin=recordpage | - |
dc.identifier.volume | 47 | - |
dc.identifier.spage | 511 | - |
dc.identifier.epage | 535 | - |
dc.identifier.eissn | 1756-6916 | - |
dc.identifier.isi | WOS:000308256500002 | - |
dc.identifier.issnl | 0022-1090 | - |