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

PE绩效和流动性风险

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

摘要：私募股权投资（PE）一直以来被认为具备分散化的好处。然而，这种分散化好处可能并没有我们预期的那么大。因为我们发现PE其实承担了显著的流动性风险因子暴露，这与公募基金或其他可选择的资产组合是类似的。PE的流动性风险绝对溢价的年化值大约为3%；在四因子模型中，当考虑了这种流动性风险溢价后，alpha值降至0。另外，我们的证据显示PE收益率和全市场流动性之间的联系是通过资金流动性渠道形成的。

关键词：私募股权投资；流动性风险；资本成本

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.

原文链接：

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

翻译：郎彪