Risk and expected returns of private equity investments: Evidence based on market prices

Narasimhan Jegadeesh, Roman Kräussl and Joshua Pollet

No 2010/04, CFS Working Paper Series from Center for Financial Studies (CFS)

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 about one to two percent. We also find that the market expects listed private equity funds to earn zero to 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 correlated with GDP growth and negatively correlated with the credit spread. Finally, 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.

Keywords: Private Equity; Listed Private Equity; Risk-Return Characteristics; Funds of Funds (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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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)
Working Paper: Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:201004

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