Investments in private equity funds: empirical analysis of their relative performance and its main determinants

• Autor(a) principal: Malattia, Filippo
• Data de Publicação: 2020
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/106864
• topic: Excess return; Dry powder; Illiquidity; Information asymmetry; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

Using a limited data set of US-based private equity funds raised and liquidated between 2001 and 2018, this paper analyzes their relative performance over a specific public equities market index. The analysis takes into serious consideration the cash flows structure and time schedule of each specific fund and demonstrates that the average private equity fund outperforms the market index. The second analysis is aimed at discovering which are the main determinants of this performance spread, particularly focusing on two risk factors, information asymmetry and illiquidity. The result of this second investigation is not enough significant due to the limited nature of available data, but it provides encouraging signs for future researches related to information asymmetry and illiquidity in the private equity market.