A new method to estimate risk and return of non-traded assets from cash flows
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A new method to estimate risk and return of non-traded assets from cash flows the case of private equity funds by Joost Driessen

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Published by National Bureau of Economic Research in Cambridge, MA .
Written in English


Book details:

Edition Notes

StatementJoost Driessen, Tse-Chun Lin, Ludovic Phalippou.
SeriesNBER working paper series -- working paper 14144, Working paper series (National Bureau of Economic Research : Online) -- working paper no. 14144.
ContributionsLin, Tse-Chun, 1978-, Phalippou, Ludovic, 1976-, National Bureau of Economic Research.
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL17088473M
LC Control Number2008610960

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  We develop a new methodology to estimate abnormal performance and risk exposure of nontraded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method to a sample of private equity by: We develop a new methodology to estimate abnormal performance and risk exposure of non-traded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method to a sample of private equity by: We develop a new GMM-style methodology with good small-sample properties to assess the abnormal performance and risk exposure of a non-traded asset from a cross-section of cash flow data. We apply this method to a sample of mature private equity funds spanning 24 years. Our methodology uses actual cash flow data and not intermediary self-reported Net Asset Values. In addition, it does not . Driessen, Joost and Lin, Tse-Chun and Phalippou, Ludovic, A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds (February 1, ). Netspar Discussion Paper No. 02/Cited by:

A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds. We develop a new methodology to estimate abnormal performance and risk exposure of nontraded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic by: We develop a new methodology to estimate abnormal performance and risk exposure of nontraded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method to a sample of private equity funds. A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, EFA Ljubljana Meetings Paper, AFA New Orleans Meetings Paper, Swedish Institute for Financial Research Conference on The Economics of the Private Equity Market. A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds Joost Driessen, Tse-Chun Lin, Ludovic Cited by:

A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds. We develop a new GMM-style methodology with . We develop a new GMM-style methodology with good small-sample properties to assess the abnormal performance and risk exposure of a non-traded asset from a cross-section of cash flow data. We apply this method to a sample of mature private equity funds spanning 24 years. We develop a new methodology to estimate abnormal performance and risk exposure of nontraded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method to a sample of private equity : TC Lin, L Phalippou and J Driessen. BibTeX @MISC{Driessen07anew, author = {Joost Driessen and Tse-chun Lin and We Thank Michael Brennan and Gurdip Bakshi and Magnus Dahlquist (afa Discussant and Frank De Jong and Steve Kaplan and Rainer Lauterbach (efa Discussant and André Lucas and Tarun Ramadorai (sifr and Joost Driessen and Tse-chun Lin}, title = {A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows.