TY  - UNPD
A1  - Jegadeesh, Narasimhan
A1  - Kräussl, Roman
A1  - Pollet, Joshua M.
T1  - Risk and expected returns of private equity investments : evidence based on market prices
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2010,04
N2  - We estimate the risk and expected returns of private equity investments based on the market prices of exchange traded funds of funds that invest in unlisted private equity funds. Our results indicate that the market expects unlisted private equity funds to earn abnormal returns of about one to two percent. We also find that the market expects listed private equity funds to earn zero to marginally negative abnormal returns net of fees. Both listed and unlisted private equity funds have market betas close to one and positive factor loadings on the Fama-French SMB factor. Private equity fund returns are positively correlated with GDP growth and negatively correlated with the credit spread. Finally, we find that market returns of exchange traded funds of funds and listed private equity funds predict changes in self-reported book values of unlisted private equity funds.
T3  - CFS working paper series - 2010, 04 
KW  - Private Equity
KW  - Listed Private Equity
KW  - Risk-Return Characteristics
KW  - Funds of Funds
Y1  - 2010
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/7523
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-75150
IS  - November 2009
ER  -