NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Roman Kraussl

FEWEB
VU University Amsterdam
de Boelelaan 1105
1081 HV Amsterdam
The Netherlands

E-Mail: rkraeussl@feweb.vu.nl

NBER Working Papers and Publications

September 2009Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices
with Narasimhan Jegadeesh, Joshua Pollet: w15335
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 predic...

Published: Narasimhan Jegadeesh & Roman Kräussl & Joshua M. Pollet, 2015. "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," Review of Financial Studies, Society for Financial Studies, vol. 28(12), pages 3269-3302. citation courtesy of

 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us