Discount-Rate Risk in Private Equity: Evidence from Secondary Market Transactions

被引：3

作者：

Boyer, Brian H. ^{[1
]}

Nadauld, Taylor D. ^{[1
]}

Vorkink, Keith P. ^{[1
,2
]}

Weisbach, Michael S. ^{[3
]}

机构：

[1] Brigham Young Univ, Marriott Sch Business, Provo, UT USA

[2] Ohio State Univ, Fisher Sch Business, Columbus, OH 43210 USA

[3] NBER, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCE | 2023年 / 78卷 / 02期

关键词：

LIMITED PARTNER PERFORMANCE; INVESTMENTS EVIDENCE; SAMPLE SELECTION; RETURNS; HETEROSKEDASTICITY;

D O I：

10.1111/jofi.13202

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Measures of private equity (PE) performance based on cash flows do not account for a discount-rate risk premium that is a component of the capital asset pricing model (CAPM) alpha. We create secondary market PE indices and find that PE discount rates vary considerably. Net asset values are too smooth because they fail to reflect variation in discount rates. Although the CAPM alpha for our index is zero, the generalized public market equivalent based on cash flows is large and positive. We obtain similar results for a set of synthetic funds that invest in small cap stocks. Ignoring variation in PE discount rates can lead to a misallocation of capital.

引用

页码：835 / 885

页数：51

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