Journal of Finance, December 2012, v. 67, iss. 6, pp. 2341-73

PE績效和流動性風險

作者：Franzoni, Francesco; Nowak, Eric; Phalippou, Ludovic

摘要：私募股權投資（PE）一直以來被認為具備分散化的好處。然而，這種分散化好處可能并沒有我們預期的那麼大。因為我們發現PE其實承擔了顯著的流動性風險因子暴露，這與公募基金或其他可選擇的資産組合是類似的。PE的流動性風險絕對溢價的年化值大約為3%；在四因子模型中，當考慮了這種流動性風險溢價後，alpha值降至0。另外，我們的證據顯示PE收益率和全市場流動性之間的聯系是通過資金流動性渠道形成的。

關鍵詞：私募股權投資；流動性風險；資本成本

Private Equity Performance and Liquidity Risk

Franzoni, Francesco; Nowak, Eric; Phalippou, Ludovic

ABSTRACT

Private equity has traditionally been thought to provide diversification benefits. However, these benefits may be lower than anticipated as we find that private equity suffers from significant exposure to the same liquidity risk factor as public equity and other alternative asset classes. The unconditional liquidity risk premium is about 3% annually and, in a four-factor model, the inclusion of this liquidity risk premium reduces alpha to zero. In addition, we provide evidence that the link between private equity returns and overall market liquidity occurs via a funding liquidity channel.

原文鍊接：

http://web.a.ebscohost.com/ehost/detail/detail?sid=78321f5c-f943-46fd-92b6-4cdeb2f8c29b@sessionmgr4001&vid=0&hid=4109&bdata=Jmxhbmc9emgtY24mc2l0ZT1laG9zdC1saXZl#AN=1343965&db=eoh

翻譯：郎彪