TY  - JOUR
AU  - Jegadeesh,Narasimhan
AU  - Kräussl,Roman
AU  - Pollet,Joshua
TI  - Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15335
PY  - 2009
Y2  - September 2009
UR  - http://www.nber.org/papers/w15335
L1  - http://www.nber.org/papers/w15335.pdf
N1  - Author contact info:
Narasimhan Jegadeesh
Goizueta Business School
Emory University
1300 Clifton Road
Suite 507
Atlanta, GA 30322
Tel: 404/727-4821
E-Mail: narasimhan_jegadeesh@bus.emory.edu

Roman Kraussl
FEWEB
VU University Amsterdam
de Boelelaan 1105
1081 HV Amsterdam
The Netherlands
E-Mail: rkraeussl@feweb.vu.nl

Joshua Pollet
College of Business
University of Illinois at Urbana-Champaign
4039 BIF
515 E. Gregory Drive
Champaign, IL 61820
Tel: 217-300-1961
E-Mail: pollet@illinois.edu
AB  - 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 approximately 1% per year. We also find that the market expects listed private equity funds to earn zero or 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 related to GDP growth and negatively related to the credit spread. In addition, 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.
ER  -