Research

Analyse der Kausalität zwischen den Renditen

Posted on | by Hammad

Der Beitrag analysiert die kausalen Zusammenhänge zwischen den Renditen von Bankaktien und Private-Equity-Fonds. Auf Basis von Tagesrenditen des MSCI World Banks Index und verschiedener Listed Private Equity Indizes der LPX Group werden für den Zeitraum 2004-2025 Granger-Kausalitätstests durchgeführt. Die Ergebnisse zeigen überwiegend bidirektionale, jedoch zeit- und segmentabhängige Kausalitäten, die insb. in Krisen- und Niedrigzinsphasen variieren.

This paper analyses the causal relationships between the returns on bank stocks and private equity funds. Granger causality tests are performed for the period 2004-2025 based on daily returns of the MSCI World Banks Index and various listed private equity indices provided by the LPX Group. The results show predominantly bidirectional, but time- and sector-dependent causal relationships, which vary particularly in times of crisis and low interest rates.

Authors: Prof. Dr. Lars Tegtmeier, Ilka Thiele, M.Sc.
Publication date: 29 May 2026
Published in: Corporate Finance
Volume/ Ausgabe: Nr. 03
Source download link: Analyse der Kausalität zwischen den Renditen von Bankaktien und Private-Equity-Fonds

Systematic Risk in Publicly Listed Private Equity

Posted on | by Hammad

We investigate systematic risk dynamics using the LPX Group’s 10 indices, which represent publicly listed private equity (PLPE) market indices as well as different PLPE investment styles and PLPE performance at alternative geographic regions. PLPE is a hybrid asset class that combines private capital exposure with public market liquidity. Using daily data from 2002 to 2025 and a recent score-driven modeling framework, i.e. the autoregressive conditional beta (ACB) model for the t-distribution (t-ACB), we demonstrate that the betas and volatility are highly time-varying and LPX-specific, particularly during periods of macroeconomic or financial crisis. Contrary to classical theory, LPX betas do not converge in crises, revealing persistent heterogeneity across PLPE firms. These findings challenge the assumptions underlying static asset pricing models and conventional methods for estimating the cost of equity. By capturing how systematic risk evolves across indices and regimes, this paper extends the literature by offering a more accurate framework for valuing hybrid assets and managing risk in an increasingly institutionalized segment of the private equity market.

Authors: Szabolcs Blazsek
Publication date: 26 September 2025
Published in: De Gruyter Brill
Volume/ Ausgabe: 
Source download link: https://www.degruyterbrill.com/document/doi/10.1515/snde-2025-0085/html

Effect of macro and geopolitics on LPE returns

Posted on | by Hammad

This study examines how global uncertainty and risk factors drive monthly returns of listed private equity across 13 developed economies during the period from April 2014 to March 2024. The findings reveal that financial and macroeconomic uncertainties significantly influence private equity firm performance by reducing its returns. Geopolitical uncertainty, resulting from political instability and global conflicts, further exacerbated these risks. GDP growth and industrial production are found to positively impact firm performance, while inflation, credit spreads, and unemployment rates negatively affect returns.

Authors: Oumaima Bouassida ; Yosra Ghabri
Publication date: 5 September 2025
Published in: Journal of Economic and Administrative Sciences
Volume/ Ausgabe: 1-19
Source download link: https://www.emerald.com/jeas/article-abstract/doi/10.1108/JEAS-01-2025-0023/1278084/Navigating-uncertainty-the-effect-of-macroeconomic?redirectedFrom=fulltext

Predicting Returns of Listed Private Equity

Posted on | by Hammad

We examine the predictive power of the net asset value (NAV)/price ratio for the LPX50 index, a key benchmark in the field of listed private equity, using monthly data from 2002 to 2024. A risk factor model reveals the index’s significant exposure to small-cap and value stocks. Autocorrelation tests indicate market inefficiencies and suggest potential predictability of future returns. Both in-sample and out-of-sample analyses confirm the NAV/price ratio as a significant predictor of future returns, particularly over longer investment horizons and when excluding periods of financial instability. When the index’s NAV is relatively high compared to its market price, investors can increase their exposure to value risk and potentially achieve excess returns. Our study offers practical insights for fund managers and institutional investors seeking to navigate this emerging asset class and underscores the relevance of fundamental valuation metrics in predicting returns.

Authors: Arthur Enders, Michèl Degosciu, Karl Schmedders, Maximilian Werner
Publication date: 7 June 2025
Published in: The Journal of Portfolio Management
Volume/ Ausgabe: Volume 51, Issue 7
Source download link: https://www.pm-research.com/content/iijpormgmt/early/2025/06/07/jpm20251736

Market efficiency: do listed private equity ETFs adapt?

Posted on | by Hammad

This research provides a comprehensive analysis of market efficiency under the efficient market hypothesis (EMH) and adaptive market hypothesis (AMH) frameworks within the listed private equity (LPE) market. An underexplored area in financial research, LPE provides the unique combination of traditional private equity’s high return potential and the liquidity of public markets. The opaqueness of daily valuing of private equity investments could result in market inefficiencies due to frictions even in public markets.

Authors: Seth A. Hoelscher, Andrew C. Meek
Publication date: 28 May 2025
Published in: Managerial Finance
Volume/ Ausgabe: 
Source download link: https://www.emerald.com/insight/content/doi/10.1108/mf-07-2024-0542/full/html

PE Market Dynamics: Beyond the Surface

Posted on | by Hammad

This study examines return and volatility spillovers between different regional private equity markets and investment styles to analyze the dynamics of connectedness. Using the LPX Group’s listed private equity indices from 2004 to 2023, we find significant fluctuations in return and volatility spillovers over time, with peaks occurring during major financial events. Notably, the peaks in the volatility spillovers are more abrupt but less persistent than those in the return spillovers. Our analysis reveals no direct correspondence between return and volatility spillovers, suggesting that they measure different aspects that should be considered in active portfolio management. The LPX America index is a net transmitter for the LPX Europe index, except during specific European events. In addition, the LPX Buyout index is identified as a consistent net transmitter of return spillovers, whereas the LPX Mezzanine index shows higher net volatility spillovers. Conversely, the LPX Venture index is consistently a net receiver, highlighting its diversification potential for both private equity and traditional stock market investors. These findings provide essential insights into portfolio allocation, risk management, and strategic planning in private equity investing.

Authors: Antonio Diaz, Carlos Esparcia, Lars Tegtmeier
Publication date: 2 April 2025
Published in:International Review of Economics & Finance
Volume/ Ausgabe: 
Source download link: https://www.sciencedirect.com/science/article/pii/S1059056025002503