Private Equity: Strategies for Improving Performance
Ron Bird (),
Harry Liem and
Susan Thorp ()
No 12, Working Paper Series from The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney
Existing research suggests the average private equity* manager does not create excess returns over public markets net of fees. We confirm this result using a factor model that allows for leverage, illiquidity and volatility clustering. The model explains 70 to 90 per cent of the variation in returns. Our model also gives rise to two methods of improving conventional private equity performance via a synthetic exposure. We test the robustness of the synthetic methods using historical and simulated data.
Keywords: buyouts; venture capital; conditional overlay; GARCH (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Pages: 44 pages
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Persistent link: https://EconPapers.repec.org/RePEc:uts:pwcwps:12
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