1、 外文翻译 原文 Risk and Expected Returns of Private Equity Investments:Evidence Based on Market Prices Material Source: Working Paper Series of Source Social Science Research Network (SSRN), March 18, 2009 Author: Narasimhan Jegadeesha We estimate the risk and expected returns of private equity investment
2、s based on the market prices of publicly traded funds of funds that invest in unlisted private equity funds. Our results indicate that the market expects the limited partners of unlisted private equity funds to earn positive abnormal returns of approximately 0.5% per year. We also find that the mark
3、et expects listed private equity funds to earn abnormal returns that are statistically indistinguishable from zero after fees. Both listed and unlisted private equity funds have market betas close to one and positive factor loadings on the Fama-French SMB factor. Private equity fund returns are nega
4、tively related to the credit spread and positively related to GDP growth. In addition, we find that the returns of publicly traded funds of funds and listed private equity funds predict changes in self-reported book values of unlisted private equity funds. Private equity (PE) refers to equity securi
5、ties in private companies that are not publicly traded. Private equity funds that specialize in PE investments opened up this asset class to institutional investors and other capital market participants. The early success of some large PE funds led to the rapid growth of this asset class. According
6、to Preqin (2009), capital commitments to new private equity funds have grown from approximately $6 billion in 1991 to more than $340 billion in 2008. As of 2008, this same report indicates that private equity funds manage approximately $2.5 trillion. Although PE has experienced rapid growth, the ris
7、k and return profile of this asset class is not well understood. Many news stories suggest that PE investments yield higher returns than traditional asset classes.2 A recent news release by Thomson Financial and the National Venture Capital Association (NVCA) announced that Thomson Reuters All Ventu
8、re Private Equity Performance Index3 for the United States (US) “across all horizons outperformed public market indices, NASDAQ and the S&P 500, through December 31, 2008.” Indeed, the capital weighted Private Equity Performance Index (PEPI) including both venture capital partnerships and buyout par
9、tnerships earned an annualized return of 7.4% compared to the analogous annualized return of 6.5% earned by S&P 500 during our sample period. A number of academic papers also report positive abnormal performance for private equity investments. Ljungqvist and Richardson (2003) find that private equit
10、y investments outperformed the S&P 500 by more than 5% per year. Cochrane (2005), Kaplan and Schoar (2005), and Peng (2001) also find that private equity funds outperform the S&P 500. However, these papers use databases that potentially suffer from selection bias because performance information is u
11、sually compiled from data selfreported by the general partners (GPs) of the funds and augmented by data voluntarily provided by large private equity investors participating as limited partners (LPs). It is quite likely that GPs and LPs who do not have good experiences choose not to report their perf
12、ormance. Hence, PE funds that performed poorly are less likely to be included in these databases. Moreover, the estimated performance of PE funds depends critically on the valuation of non-exited investments at the end of the sample period. For instance, Kaplan and Schoar use the book values of such
13、 non-exited investments determined by the funds themselves and find that the value-weighted performance of PE funds exceeds S&P 500 return by five percent over the life of the fund. However, Phalippou and Gottschalg (2009) argue that it is more reasonable to write-off non-exited investments after a
14、sufficiently lengthy period of time and they find that PE funds earn an abnormal return of -3% to -6% per year. The existing literature also attempts to estimate the risk characteristics of PE investments based on cash payouts to investors and intermediate valuations of these investments. Because it
15、 is difficult to determine the intermediate market valuation of all investments made by PE funds using cash distributions or follow-up financing rounds, additional assumptions are necessary to determine the risk of these investments. The estimates of systematic risk in this literature seem to depend
16、 significantly on these assumptions. For example, the estimates range from about 0.5 in Hwang, Quigley, and Woodward (2005) to 4.7 in Peng (2001). This paper examines the risk and return of private equity investments using market prices of two samples of publicly traded firms that invest in private
17、equity. The first sample contains 24 publicly traded funds of funds (FoFs) that predominantly invest in unlisted private equity funds. FoFs that invest in unlisted PE funds trade on exchanges outside the United States (US), including the London Stock Exchange and exchanges inContinental Europe. The
18、aggregate size of the constituent unlisted PE funds held in part by the portfolios of these FoFs and matched to observations in the VentureXpert database is approximately 29% of the combined size of all PE funds in the VentureXpert universe in 2007.7 Therefore, the unlisted PE funds held by our samp
19、le of FoFs represent a large fraction of the PE fund universe.8 We estimate the risk and return profile of the underlying portfolio of unlisted PE funds using the market prices for our sample of FoFs. The dataset we employ has several advantages. First, it is free from the standard sources of select
20、ion bias. As Cochrane (2005) notes, “overcoming selection bias is the central hurdle” in evaluating the performance of PE investments. Moreover, we rely on market prices instead of self-reported accounting data and information about cash flows and estimates of intermediate valuation. Therefore, we a
21、re able to circumvent critical shortcomings that affect the results of previous studies. Our approach extracts an estimate of the markets ex-ante expectation of abnormal returns for PE investments from market prices. In contrast, the existing literature examines ex-post performance of unlisted PE fu
22、nds based. These studies find a wide range of abnormal returns, ranging from -6% in Phalippou and Gottschalg (2009) to 32% in Cochrane (2005). The findings in these papers provide interesting insights into past performance of PE funds found in various datasets and based on different sets of assumpti
23、ons. However, both investors and practitioners are generally interested in understanding the expected return for private equity in the long run. The intuition behind our approach is straightforward. The listed FoFs in our sample are structured as closed-end funds. The relation between the market pri
24、ces of these FoFs and the amount they invest in unlisted PE funds provides a measure of the value added by the holding the underlying PE funds net of the extra layer of fees charged by the FoFs. After taking into account the present value of these fees, the market value of the equity invested in unl
25、isted PE funds enables us to estimate the abnormal return that these underlying PE funds are expected to earn in the long run. Intuitively, the difference between the amount of cash that the FoFs raise and the combined value of FoF shares and the present value of fees is a function of the abnormal r
26、eturns that the market expects underlying unlisted PE funds to earn. We observe the amount of cash that the funds raise and the market value of FoF equity, and the only missing piece is the present value of FoF fees. We follow several approaches to determine plausible values of FoF fees and extract
27、markets abnormal return expectations that are consistent with the market prices we observe. We find that a relatively narrow range of abnormal return expectations would be consistent with the observed market prices regardless of the model used to compute the present value of FoF fees. We present an
28、analytically tractable model to determine upper and lower bounds for abnormal returns expectations from underlying PE funds that is consistent with observed market prices and the typical FoF fee structure. We find that the market expects unlisted PE funds to earn abnormal returns between -0.25% and
29、1.75% before FoF fees. In our next set of tests, we use simulations to capture the actual fee structure of each individual FoF as well as the observed fund discount to narrow the range of estimated abnormal return expectations. The results of our simulations indicate that the markets abnormal return
30、 expectation is between 0.25% and 0.75% for plausible payout ratios We also examine the risk and return profile of another unique sample of 155 publicly traded funds that invest in private equity. We refer to these funds as listed private equity (LPE). LPEs are similar to unlisted PE funds in severa
31、l respects. The managers of LPEs are compensated through management and performance fees similar to unlisted PE funds.9 The LPEs primarily invest directly in PE deal rather than holding limited partnerships in unlisted PE funds. These LPEs have the same opportunity sets as unlisted PE funds, to the
32、extent that excess returns are available to skilled managers who specialize in private equity transactions. Following the logic underpinning the analysis of FoFs, we are able to infer the performance characteristics of PE investments based on the market prices available for the listed private equity
33、 vehicles in our database. Indeed, LPEs do not have a second layer of fees, and therefore, the relation between the market prices of these LPEs and the amount of capital under management provides a direct measure of the value added by PE. However, there are several practical differences between LPEs
34、 and unlisted PE funds that may lead to a disparity in performance benefits. For example, Jensen (2007) argues that the unlisted PE funds partnership structure may contribute to their value since they are not exposed to agency costs associated with diffusely owned publicly traded firms. Also, since
35、unlisted PE funds have finite lives, the general partners are forced to revisit the pool of limited partners to raise capital to finance the next set of transactions. Therefore, general partners have an added incentive to perform well due to reputational considerations. Since LPEs have an indefinite
36、 life, they are more insulated from such concerns because they have the option to indefinitely retain earnings to finance the next deal. If the performance benefits associated with unlisted PE funds are derived from the incentives induced by these specific differences, then the unlisted funds will a
37、dd more value than LPEs. Therefore, the abnormal return that the market expects LPEs to earn for their shareholders provides a lower bound for the abnormal return that unlisted PE funds are expected to provide their LPs. We find that the market expects listed private equity funds to earn zero or mar
38、ginally negative abnormal returns net of fees. Similar to our results for FoFs, market prices of LPEs are inconsistent with either significant negative expected abnormal returns or significant positive expected abnormal returns for private equity in the long run. In related work, Martin and Petty (1
39、983) and Brophy and Guthner (1988) use listed venture capital funds (a subset of LPEs) to examine risk and ex-post returns for extremely small samples during sample periods of approximately five years. In the more closely related paper, Brophy and Gunthner (1988) find that the portfolio of listed fu
40、nds outperforms the S&P 500 and has low systematic risk. Although these studies use market prices of listed private equity funds, they suffer from a selection bias because both studies require the vehicles in their respective samples to survive until the end of the sample period. Based on our estima
41、tes from the market model, the risk profiles of FoFs and LPEs imply that unlisted PE funds have market betas close to one. Augmenting our analysis with additional factors, we find significantly positive loadings on Fama-French SMB factor. Even after controlling for the stock market, the performance
42、of the FoF index is negatively related to the credit spread and positively related to GDP growth. In analogous specifications, the performance of the LPE index is negatively related to the credit spread, however, the coefficient for GDP is positive but not statistically significant. We also find tha
43、t the returns of FoFs based on market prices predict future changes in the book valuation of unlisted private equity funds. This result indicates that the performance of FoFs provides timely information about the subsequent performance of the unlisted PE industry. This finding also indicates that it
44、 is critical to use market prices to estimate the risk and return profile of PE because the accounting data based on the intermediate valuation of assets attenuates any sharp movements in the true value of these assets due to changing market conditions. 译文 私募股本投资的风险和期望回报率 :以市场价格为基础 资料来源 : 社会科学研究工作论文
45、 (SSRN), 2009 年 3 月 18 日 作者： 马利赛麦 捷克迪生 我们估计的私募 股权 投资的风险和期望回报率是以市场价格为基础 的，以公开交易 的方式 投资于未上市的私募股权投资基金 而获得的回报 。 我们的研究结果表明 ，市场预期私募股权投资投资于未上市的公司，在正常情况下，每年的投资回报率为 0.5。我们还发现，市场预期上市的私募基金在股票发行后会获得丰厚的收益，至于所需花费的费用几乎是零成本。 已经 上市和非上市公司的 在 私募股权投资基金 在相比之下各方面的因素比相差甚远。 私募基金的回报 与 信贷息负相关 而与 GDP 的 增长 是 正相关。 此外，我们 还 发现 通过
46、 上市 而退出股权的方式进行的私募股权投资其 资金回报 和它所在的上市公司的共同获利的。而且在账面价值上反 映的更具体。 私募股权投资 (PE)是 指 通过 投资 取得被投资单位的股 份 ，在一段时间之后， 通过各种方式实现股权退出，最终目的是为了取得收益 。私募股权基金 是指那些专门从事股权投资的机构投资者和市场参与者。最早期的私募股权投资对体 育项目的投资，实现了体育事业的快速发展。 据 相关专家学者的研究发现 ：私募股权投资基金已从 1991年 的 大约有 60亿美元 发展 到 2008年的 340亿美元。截止 2008 年的报告显示 ,私募股权投资基金 所投资 管理 的项目 约 合 2
47、.5 万亿美元。 虽然 PE 经历了快速的经济增长时期，但风险和预期 回报率 并不为人们所清楚。 许多相关报道显示 PE 投资比传统 投资 方式的回报率 要 高 许多 。 2008 年12 月 31 日 ，汤姆森 在 金融和国家风险投资协会 (NVCA) 在新闻发布会上宣布：在所有的公开市场指数条件下，包括纳斯达克与标准普尔 500 指数，汤姆森路透社的风险私募股权投资股本回报率比在美国的这些指数条件下的回报率高很多。事实上，在我们的采样周期中 ，私募股权投资与 年回 报率达 到了 6.5%的标准普尔 500 指数 相比 都要高得多。 许多学术论文的报告都积极地提及私募股权投资。 真奎斯特 和
48、理查德森 于2003 年 发现私募股权投资的回报率每年 都 超过标准普尔 500 指数 回报率的 5%。还有一些学者也发现， 私募股权投资基金优于一般的标准普尔 500 指数。 然而 ,在 使用的这些文件数据库 当中 ,潜在 得存在 选择 性 偏差 ,因为 这些数据库是 由一般合伙人 (GPs)自愿提供 。这是 很 有 可能 的有 限合伙人和一般合伙人他们 不愿意也没有足够的精力来 报告他们 一些具体数据 。所以 这些私募 股权投资的回报率显示的结果是 表现平平 。 此外 ,私募股权投资的回报率测算还 取决于 有没有选择合适的 采样周期 。 例如 ,有些 私募股权投资 用其 账面价值 来确定
49、自己的 回报率 ,然而 发现 私募股权投资 回报率远远超过标准普尔 500 指数百分之五个点都不止。然而 一部分学者却认为 ,更合理的解释是私募股权投资 只要足够长 ,私募股权投资 基 金 的年回报率就可以达到 3%到 6%。现 在也有资料推测私募股权投资 的风险 是基于对投资者的信用风险 。因为它是很难 控制 中介市场 在投资过程当中 融资 的相关费用及其融资者的信用度，所以进一步进行风险防范时候很有必要的，可以防范投资的风险。 基于对风险和回报率的考虑，很多未上市公司在考虑引进私募股权投资。有一个样本数为 24 的调研发现，私募股权投资 主要投资于未上市 的、具有发展潜力的中小型公司 。 还有些海外私募股权投资基金投向于他国的基金市场， 包括伦敦股票交易所和欧洲交易所交易。总共大 大小 小的非上市公司 经行私募股权投资 组成 的相当 一部分的基金投资行为都可以在一些数据库当中发现。而且我们发现，对于 有 进行私募股权投资 的代表 性公司经行的对 冲基金 行为，其 风险和回报 绝对不亚于投资于那些未上市的公司。 我们的研究具有几个优势。首先 他的信息资料的来源是畅通的，免费的，2005 年 科克伦就指出用 “ 克服选择 性 偏差 ” 的方法经行私募股权投资的绩效研究是很有意义的。 此外 ,我们依靠 的 市场价格而不是 凭着
