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New Methid to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds

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We develop a new methodology to estimate abnormal performance and risk exposure of non-traded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method to a sample of 958 private equity funds. For venture capital funds, we find a high market beta and underperformance before and after fees. For buyout funds, we find a relatively low market beta and no evidence for outperformance. We find that self-reported net asset values significantly overstate fund values for mature and inactive funds..Printed Journal

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Ketersediaan

Call Number	Location	Available
JFQA4703	PSB lt.dasar - Pascasarjana	1

Penerbit	Cambridge Cambridge University Press.,
Edisi	-
Subjek	Abnormal return Private equity risk exposure
ISBN/ISSN	-
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data