私募股本投资的风险和期望回报率以市场价格为基础【外文翻译】

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1、外文翻译原文RiskandExpectedReturnsofPrivateEquityInvestments:EvidenceBasedonMarketPricesMaterialSource:WorkingPaperSeriesofSourceSocialScienceResearchNetwork(SSRN),March18,2009Author:NarasimhanJegadeeshaWeestimatetheriskandexpectedreturnsofprivateequityinve

2、stmentsbasedonthemarketpricesofpubliclytradedfundsoffundsthatinvestinunlistedprivateequityfunds.Ourresultsindicatethatthemarketexpectsthelimitedpartnersofunlistedprivateequityfundstoearnpositiveabnormalreturnsofapproximately0.5%peryear.Wealsofindthatt

3、hemarketexpectslistedprivateequityfundstoearnabnormalreturnsthatarestatisticallyindistinguishablefromzeroafterfees.BothlistedandunlistedprivateequityfundshavemarketbetasclosetooneandpositivefactorloadingsontheFama-FrenchSMBfactor.Privateequityfundretu

4、rnsarenegativelyrelatedtothecreditspreadandpositivelyrelatedtoGDPgrowth.Inaddition,wefindthatthereturnsofpubliclytradedfundsoffundsandlistedprivateequityfundspredictchangesinself-reportedbookvaluesofunlistedprivateequityfunds.Privateequity(PE)refersto

5、equitysecuritiesinprivatecompaniesthatarenotpubliclytraded.PrivateequityfundsthatspecializeinPEinvestmentsopenedupthisassetclasstoinstitutionalinvestorsandothercapitalmarketparticipants.TheearlysuccessofsomelargePEfundsledtotherapidgrowthofthisassetcl

6、ass.AccordingtoPreqin(2009),capitalcommitmentstonewprivateequityfundshavegrownfromapproximately$6billionin1991tomorethan$340billionin2008.Asof2008,thissamereportindicatesthatprivateequityfundsmanageapproximately$2.5trillion.AlthoughPEhasexperiencedrap

7、idgrowth,theriskandreturnprofileofthisassetclassisnotwellunderstood.ManynewsstoriessuggestthatPEinvestmentsyieldhigherreturnsthantraditionalassetclasses.2ArecentnewsreleasebyThomsonFinancialandtheNationalVentureCapitalAssociation(NVCA)announcedthatTho

8、msonReuters'AllVenturePrivateEquityPerformanceIndex3fortheUnitedStates(US)“acrossallhorizonsoutperformedpublicmarketindices,NASDAQandtheS&P500,throughDecember31,2008.”Indeed,thecapitalweightedPrivateEquityPerformanceIndex(PEPI)includingbothven