A new method to estimate risk and return of non-traded assets from cash flows
Subtitle: the case of private equity funds
By: Joost Driessen, Tse-Chun Lin, Ludovic Phalippou.
Contributors: Lin, Tse-Chun, 1978-; Phalippou, Ludovic, 1976-; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 14144; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 14144.
Publisher: National Bureau of Economic Research
Published: 2008
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "We develop a new GMM-style methodology with good small-sample properties to assess the abnormal performance and risk exposure of a non-traded asset from a cross-section of cash flow data.  We apply this method to a sample of 958 mature private equity funds spanning 24 years.  Our methodology uses actual cash flow data and not intermediary self-reported Net Asset Values.  In addition, it does not require a distributional assumption for returns.  For venture capital funds, we find a high market beta and significant under-performance.  For buyout funds, we find a low beta and no abnormal performance, but the sample is small.  Larger funds have higher returns due to higher risk exposures and not higher alphas.  We also find that Net Asset Values significantly overstate fund market values for the subset of mature and inactive funds"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 7/23/2008.

Includes bibliographical references.

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