کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
986657 1480887 2016 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
How much can lack of marketability affect private equity fund values?
ترجمه فارسی عنوان
کمبود قابلیت عرضه در بازار چقدر مقادیر صندوق سهام خصوصی را تحت تاثیر قرار می دهد؟
کلمات کلیدی
صندوق های سهام خصوصی؛ بازار؛ گزینه قیمت گذاری
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

This paper derives an upper bound on the discounts for lack of marketability of private equity funds using option-pricing theory. The upper bound is a function of the volatility of the fund returns, of the (remaining) lifetime of the fund, of two parameters governing the speed of capital drawdowns and distributions, of the volatility of the stock market returns, and of the return correlation between the fund and the stock market. The model calibration and numerical analysis deliver several novel insights about how non-marketability affects the value: (i) upper boundary discounts are increasing functions of the return volatility of the fund, of the return volatility of the stock market, and of the average time over which a dollar committed remains invested in the fund; (ii) upper boundary discounts decrease non-linearly over the finite lifetime of a fund; (iii) estimated upper boundary discounts at the start of an average private equity fund equal $35.3 relative to $100 committed, which corresponds to an annual upper boundary return premium demanded for lack of marketability of around 7%; and (iv) estimated upper boundary discounts of venture and buyout funds are around the same magnitude, though, discounts of venture capital funds are slightly higher.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Financial Economics - Volume 28, January 2016, Pages 35–45
نویسندگان
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