Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/43268 
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dc.contributor.authorJegadeesh, Narasimhanen
dc.contributor.authorKräussl, Romanen
dc.contributor.authorPollet, Joshuaen
dc.date.accessioned2010-03-29-
dc.date.accessioned2010-12-15T09:22:52Z-
dc.date.available2010-12-15T09:22:52Z-
dc.date.issued2010-
dc.identifier.piurn:nbn:de:hebis:30-75150en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2010/04en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordPrivate Equityen
dc.subject.keywordListed Private Equityen
dc.subject.keywordRisk-Return Characteristicsen
dc.subject.keywordFunds of Fundsen
dc.subject.stwKapitalanlageen
dc.subject.stwPrivate Equityen
dc.subject.stwKapitalertragen
dc.subject.stwRisikoen
dc.subject.stwWelten
dc.titleRisk and expected returns of private equity investments: Evidence based on market prices-
dc.typeWorking Paperen
dc.identifier.ppn622761099en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:201004en

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