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Risk, returns, and biases of listed private equity portfolios

Bilo, Stéphanie and Christophers, Hans and Degosciu, Michèl and Zimmermann, Heinz. (2005) Risk, returns, and biases of listed private equity portfolios. WWZ Discussion Papers, 2005 (01).

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Official URL: https://edoc.unibas.ch/61263/

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Abstract

This is the first empirical paper investigating a comprehensive sample of listed NEWLINE (i.e. publicly traded) private equity companies, covering 287 companies in the NEWLINE time period 1986 to 2003. After imposing liquidity constraints, and after NEWLINE correcting for non-surviving vehicles, we get a sample of 114 instruments. The NEWLINE risk and return characteristics of three portfolio strategies, two partially NEWLINE rebalanced and one fully rebalanced, are compared. We moreover address NEWLINE potential biases resulting from thin trading, the bid-ask spread, and sample NEWLINE selection. We show that the adjusted performance figures differ substantially NEWLINE from standard estimates. But even after correcting for these biases, we find a NEWLINE high risk-adjusted performance of this asset class before 2000, and dramatic NEWLINE different results between the three indices if we extend the time period to 2003.Listed private equity, Private equity, Performance biases
Faculties and Departments:06 Faculty of Business and Economics
06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften
06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann)
12 Special Collections > WWZ Publications > WWZ Discussion Papers and Working Papers
UniBasel Contributors:Zimmermann, Heinz and Christophers, Hans and Degosciu, Sacha Elias Michel
Item Type:Working Paper
Publisher:WWZ, University of Basel
Note:Publication type according to Uni Basel Research Database: Discussion paper / Internet publication
Language:English
Identification Number:
  • handle: RePEc:bsl:wpaper:2005/01
Last Modified:09 Mar 2018 10:53
Deposited On:08 Mar 2018 09:00

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