Tag: performance measurement

A Systematic Risk Analysis of Listed Private Equity

Posted on | by Robin Jakob

This study aims at dissecting the systematic risk of listed private equity (LPE) empirically through the decomposition of its beta. Instead of testing the assertion that LPE is a good proxy of unlisted private equity, the study intends to provide potential investors with better information regarding LPE’s systematic risk and to have a better reference to obtain the relevant cost of capital when evaluating individual LPE firm.

Authors: Tsz Nok Leung
Publication date: 28 February 2013
Published in: The Journal of Private Equity  Spring 2013, 16
Volume/ Ausgabe: Volume 16, Issue 2
Source download link: https://www.pm-research.com/content/iijpriveq/16/2/93

Organizational Forms and Risk of Listed Private Equity

Posted on | by Robin Jakob

This article investigates the stock performance of listed private equity and wwwelops a classification of vehicles according to their organizational structure. The authors identify and examine 274 liquid listed private equity entities in the period from 1986 to 2008. The listed private equity shows a Dimson beta of 1.7 without any significant excess return, and vehicles differ strongly depending on their organizational form. Market risk is high in internally managed vehicles but low in externally managed ones. The authors conclude that different sources of cash flows, such as management fees and carried interest, can account for these risk characteristics. Precautions must be taken, therefore, when using specific listed private equity vehicles as a proxy for traditional private equity funds.

Author: Henry Lahr / Florian T. Herschke
Publication date: 30 November 2009
Published in: The Journal of Private Equity
Volume/ Ausgabe: Volume 13, Issue 1
Source download link: https://www.pm-research.com/content/iijpriveq/13/1/89