The Pricing of Liquidity Risk in Buyout Funds. A Public Market Perspective

Huss, Matthias and Zimmermann, Heinz. (2018) The Pricing of Liquidity Risk in Buyout Funds. A Public Market Perspective. SBR - Schmalenbach Business Review, 70 (3). pp. 285-312.

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Official URL: https://edoc.unibas.ch/67237/

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This paper analyzes the structure and pricing of liquidity risk for international listed buyout funds. We use a time-series framework for our tests which allows us to discriminate between the exposure of buyout funds to two types of liquidity: Market and funding liquidity. We find that the innovation in funding liquidity is a priced factor for buyout funds, while changes in market liquidity are not. Investors require a risk premium of approximately 3% to 7% per annum in order to be compensated for bearing that risk. Controlling for funding liquidity risk decreases the alpha of the asset class to zero.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann)
UniBasel Contributors:Huss, Matthias and Zimmermann, Heinz
Item Type:Article, refereed
Article Subtype:Research Article
Note:Publication type according to Uni Basel Research Database: Journal article
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Last Modified:27 Dec 2018 10:23
Deposited On:27 Dec 2018 10:21

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