REVIEW OF FINANCE ·VOL.20, ISSUE. 3 · MAY 2016

私募股權投資中的投資者規模和表現

作者：A. Dyck (University of Toronto), L. Pomorski (AQR Capital Management, LLC)

摘要：我們證明了在20世紀90年代和21世紀，持有顯著規模私人股權投資（PE）的固定收益養老金計劃所得的收益比持有小規模所得的收益更高。PE持有規模每一個單位标準差的增加會帶來年收益4%的增長。由于避免基金中基金和直接投資可以節約昂貴的中介費用，因此這種超常表現中多達1/3的部分都來自低成本的好處。超常表現的大部分來源于較高的總收益，而這些較高的總收益隻能部分地被準入資格和經驗解釋。我們推測規模越大的PE投資者擁有越強的盡職調查能力去克服PE中的信息不對稱問題。

Investor Scale and Performance in Private Equity Investments

A. Dyck (University of Toronto), L. Pomorski (AQR Capital Management, LLC)

ABSTRACT

We document that defined benefit pension plans with significant holdings in private equity (PE) earn substantially greater returns than plans with small holdings, in both the 1990s and the 2000s. A one standard deviation increase in PE holdings is associated with 4% greater returns per year. Up to one-third of this outperformance comes from lower costs that we link to economizing on costly intermediation by avoiding fund-of-funds and investing directly. The bulk of the outperformance comes from superior gross returns only partially explained by access and experience. We conjecture that larger PE investors have superior due diligence and ability to bridge information asymmetries in PE.

原文鍊接：

http://rof.oxfordjournals.org/content/20/3/1081.abstract

翻譯：陳然