Profitability of private equity: mean reversion and transitory shocks

Luis Gil-Alana and Francisco Puertolas-Montanes
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Francisco Puertolas-Montanes: Universidad Francisco de Vitoria

Journal of Economics and Finance, 2023, vol. 47, issue 2, No 10, 458-471

Abstract: Abstract This paper deals with the analysis of the statistical properties of the profitability yielded by Private Equity from a fractionally integrated viewpoint. Using quarterly data from 1981q2 to 2021q3, the results support the hypothesis of stationarity and mean reversion in all cases; however, we observe differences in the degree of persistence across regions, Europe being the closest to short memory while the US shows the highest degree of long range dependence and thus the longer lasting effects of shocks. Some policy recommendations of the results obtained are included at the end of the manuscript.

Keywords: Profits; Long memory; Fractional integration; Europe; Shocks (search for similar items in EconPapers)
JEL-codes: C22 C59 Y10 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s12197-022-09606-7

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