Revisiting the Home Bias and Equity Premium - Inquire Europe对家庭的偏见和股权溢价询问欧洲.pptVIP

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Revisiting the Home Bias and Equity Premium - Inquire Europe对家庭的偏见和股权溢价询问欧洲.ppt

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Revisiting the Home Bias and Equity Premium - Inquire Europe对家庭的偏见和股权溢价询问欧洲.ppt

Thanks for your attention and Inquire Europe for research funding Feedback welcome Roman Kr?ussl Associate Professor of Finance VU University Amsterdam rkraeussl@feweb.vu.nl * Risk and Expected Returns of Private Equity Investments -Evidence Based on Market Prices Narasimhan Jegadeesh Goizueta BS, Emory University and NBER Roman Kr?ussl VU University Amsterdam Joshua Pollet Goizueta BS, Emory University 12 October 2009 @ Inquire Europe * Innovation / Contribution First study that uses market prices (objective measure) to estimate the true risk and expected return on PE investments Previous research provided (just) interesting insights into past performances of PE funds But investors are interested what they can expect to earn in the long run through PE investments Unique database of 710 listed private equity vehicles Sample free from selection bias and survivorship bias We determine the value of PE investments from market prices and have not to rely on self-reported data for valuation Construction of first and transparent (L)PE index * The Private Equity Market Conventional “wisdom” in investor community: PE investments promise high returns and low correlation with other asset classes; vital hedging opportunities NVCA reports strong long-term performance: 20-year period ending 2005, PE funds averaged annual return of 14.3% after fees, outperforming both SP 500 (11.2%) and NASDAQ (12.6%) Large institutional investors increasingly looking to private equity to diversify their portfolio Capital committed to PE investments increased from $5 billion in 1980 to over $3 trillion as of September 2008 Biggest growth in AUM over 2000s: HF and PE funds * Prior Literature I Gompers and Lerner (1997, 2000, JFE): PE investments adds substantial value to portfolio; 5% abnormal returns Ljungqvist and Richardson (2003, NBER WP): SP 500 outperformance by more than 5% Kaplan and Schoar (2005, JF) report 6% to 8% abnormal returns Cochrane (2005, JFE): 32% abnormal returns Phalipp