Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices

Narasimhan Jegadeesh, Roman Kräussl and Joshua Pollet

No 15335, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We estimate the risk and expected returns of private equity investments based on the market prices of exchange-traded funds of funds that invest in unlisted private equity funds. Our results indicate that the market expects unlisted private equity funds to earn abnormal returns of approximately 1% per year. We also find that the market expects listed private equity funds to earn zero or marginally negative abnormal returns net of fees. Both listed and unlisted private equity funds have market betas close to one and positive factor loadings on the Fama-French SMB factor. Private equity fund returns are positively related to GDP growth and negatively related to the credit spread. In addition, we find that market returns of exchange traded funds of funds and listed private equity funds predict changes in self-reported book values of unlisted private equity funds.

JEL-codes: G12 G24 (search for similar items in EconPapers)
Date: 2009-09
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published as Narasimhan Jegadeesh & Roman Kräussl & Joshua M. Pollet, 2015. "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," Review of Financial Studies, Society for Financial Studies, vol. 28(12), pages 3269-3302.

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Related works:
Journal Article: Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices (2015)
Working Paper: Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices (2014)
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