Tail Risks and Private Equity Performance
Détails
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Accès restreint UNIL
Etat: Public
Version: Final published version
Licence: CC BY 4.0
Accès restreint UNIL
Etat: Public
Version: Final published version
Licence: CC BY 4.0
ID Serval
serval:BIB_34112BF8EFBB
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Tail Risks and Private Equity Performance
Périodique
Journal of Empirical Finance
ISSN
0927-5398
Statut éditorial
Publié
Date de publication
2024
Peer-reviewed
Oui
Volume
75
Langue
anglais
Résumé
We examine the drivers of private equity in response to the fully exogenous Covid-19 shock,
employing listed private equity as a proxy for traditional non-listed private equity. This approach
enables us to reliably measure firm characteristics and performance in real-time. Listed private
equity firms, on average, underperformed significantly during the crisis, with a performance drop
ranging from 9.2% to 43.6%, depending on the model used. However, there is substantial crosssectional
variation driven by unique firm-level attributes including access to capital, liquidity,
transparency, and ownership structure. Listed private equity with better access to capital and
higher transparency shows resilience during the crisis, while higher illiquidity and opacity
exacerbate the negative effects. This study offers early evidence on Covid-19's impact on private
equity firms, highlighting value drivers and performance dynamics of this alternative asset class
during a period of extreme tail risk.
employing listed private equity as a proxy for traditional non-listed private equity. This approach
enables us to reliably measure firm characteristics and performance in real-time. Listed private
equity firms, on average, underperformed significantly during the crisis, with a performance drop
ranging from 9.2% to 43.6%, depending on the model used. However, there is substantial crosssectional
variation driven by unique firm-level attributes including access to capital, liquidity,
transparency, and ownership structure. Listed private equity with better access to capital and
higher transparency shows resilience during the crisis, while higher illiquidity and opacity
exacerbate the negative effects. This study offers early evidence on Covid-19's impact on private
equity firms, highlighting value drivers and performance dynamics of this alternative asset class
during a period of extreme tail risk.
Mots-clé
Listed Private Equity, Private Equity Performance, Covid-19
Création de la notice
13/11/2023 15:54
Dernière modification de la notice
17/07/2024 6:09