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dc.contributor.authorJegadeesh, Narasimhanen_US
dc.contributor.authorKräussl, Romanen_US
dc.contributor.authorPollet, Joshuaen_US
dc.date.accessioned2010-03-29en_US
dc.date.accessioned2010-12-15T09:22:52Z-
dc.date.available2010-12-15T09:22:52Z-
dc.date.issued2010en_US
dc.identifier.piurn:nbn:de:hebis:30-75150-
dc.identifier.urihttp://hdl.handle.net/10419/43268-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2010/04en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordPrivate Equityen_US
dc.subject.keywordListed Private Equityen_US
dc.subject.keywordRisk-Return Characteristicsen_US
dc.subject.keywordFunds of Fundsen_US
dc.subject.stwKapitalanlageen_US
dc.subject.stwPrivate Equityen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwRisikoen_US
dc.subject.stwWelten_US
dc.titleRisk and expected returns of private equity investments: Evidence based on market pricesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn622761099en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:201004-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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