Listed Private Equity: A Genuine Alternative for an Alternative Asset Class

Huss, Matthias; Zimmermann, Heinz

doi:10.1093/oxfordhb/9780195391589.013.0022

Cited by 8 publications

(14 citation statements)

References 13 publications

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“…LPE funds, therefore, offer investors indirect exposure to traditional unlisted private equity. Differences between LPFs and LPE funds mainly relate to the heterogeneity of the organizational structure, which can be considered to be predominantly legal (Huss and Zimmermann 2012;Döpke and Tegtmeier 2018). In contrast, traditionally unlisted private equity is usually structured as LPFs.…”

Section: The Listed Private Equity Marketmentioning

confidence: 99%

“…The LPX listed private equity index family was the first set of benchmarks for private equity based solely on objective market valuations. Today, these indices are widely accepted as a reliable tool for valuation and representative performance benchmarks for (listed) private equity in both the academic community and among industry experts (Huss and Zimmermann 2012). 3 Table 1 gives a detailed description of these indices.…”

Section: Data and Preliminary Analysismentioning

confidence: 99%

“…1 Detailed overviews of the forms of organization of LPE vehicles are given by Lahr and Herschke (2009) and Huss and Zimmermann (2012).…”

Section: Notesmentioning

confidence: 99%

“…In this context, listed private equity vehicles (LPE) have also become increasingly important as an alternative to investments in unlisted (traditional) private equity (Cumming et al 2011;Brown and Kraeussl 2012). Due to the listing on a stock exchange, LPE offers high levels of liquidity for a generally illiquid asset class (Brown and Kraeussl 2012;Huss and Zimmermann 2012). Against this background, it is easy to understand why LPE has experienced a strong increase in demand from private and institutional investors.…”

Section: Introductionmentioning

confidence: 99%

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Testing the Efficiency of Globally Listed Private Equity Markets

Tegtmeier

2021

JRFM

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This study is the first to investigate the efficient market hypothesis in its weak form and the random walk behaviour of globally listed private equity (LPE) markets represented by nine global, regional, and style indices based on weekly data covering the period from January 2004 to December 2020. Autocorrelation tests, variance ratio tests, and a non-parametric runs test are employed. The results of the autocorrelation tests and the variance ratio tests tend to correspond for all indices, and they reject the random walk hypothesis for the returns of all LPE indices under investigation. In contrast, the runs test for direct weak-form market efficiency cannot reject the null hypothesis of a random walk process for almost all LPE indices under investigation. Furthermore, there is no evidence that the market efficiency of globally listed private equity markets has improved after the global financial crisis. Due to the fact that the rapidly growing asset class of LPE as a form of private equity is still relatively unknown, the implications of the results of our paper are relevant for investors, policy makers, and academics alike. In addition, the results provide valuable insights to better understand the emerging asset class of LPE.

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Section: The Listed Private Equity Marketmentioning

confidence: 99%

Section: Data and Preliminary Analysismentioning

confidence: 99%

“…1 Detailed overviews of the forms of organization of LPE vehicles are given by Lahr and Herschke (2009) and Huss and Zimmermann (2012).…”

Section: Notesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Testing the Efficiency of Globally Listed Private Equity Markets

Tegtmeier

2021

JRFM

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“…These listed private equity (LPEs) vehicles offerbesides institutional investorsalso public or retail investors access to an asset class usually reserved for institutional investors (Cumming et al, 2013). Referring to the differences between LPFs and LPEs, they are mainly seen in the heterogeneity of the organizational structure, which can be regarded as a predominantly legal one (Huss and Zimmermann, 2012). By contrast, traditionally unlisted private equity is almost always structured as LPFs.…”

Section: Introductionmentioning

confidence: 99%

Global risk factors in the returns of listed private equity

Döpke

Tegtmeier

2018

SEF

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Purpose The purpose of this paper is, to study macroeconomic risk factors driving the expected stock returns of listed private equity (LPE). The authors use LPE indices divided into different styles and regions from January 2004 to December 2016 and a set of country stock indices to estimate the macroeconomic risk profiles and corresponding risk premiums. Using a seemingly unrelated regressions (SUR) model to estimate factor sensitivities, the authors document that LPE indices exhibit stock market βs that are greater than 1. A one-factor asset pricing model using world stock market returns as the only possible risk factor is rejected on the basis of generalized method of moments (GMM) orthogonality conditions. In contrast, using the change in a currency basket, the G-7 industrial production, the G-7 term spread, the G-7 inflation rate and a recently proposed indicator of economic policy uncertainty as additional risk factors, this multifactor model is able to price a cross-section of expected LPE returns. The risk-return profile of LPE differs from country equity indices. Consequently, LPE should be treated as a separate asset class. Design/methodology/approach Following Ferson and Harvey (1994), the authors use an unconditional asset pricing model to capture the structure of returns across LPE. The authors use 11 LPE indices divided into different styles and regions from January 2004 to December 2016, and a set of country stock indices as spanning assets to estimate the macroeconomic risk profiles and corresponding risk premiums. Findings Using a seemingly unrelated regressions (SUR) model to estimate factor sensitivities, the authors document that LPE indices exhibit stock market ßs that are greater than 1. The authors estimate a one-factor asset pricing model using world stock market returns as the only possible risk factor by GMM. This model is rejected on the basis of the GMM orthogonality conditions. By contrast, a multifactor model built on the change in a currency basket, the G-7 industrial production, the G-7 term spread, the G-7 inflation rate and a recently proposed indicator of global economic policy uncertainty as additional risk factors is able to price a cross-section of expected LPE returns. Research limitations/implications Given data availability, the authors’ sample is strongly influenced by the financial crisis and its aftermath. Practical implications Information about the risk profile of LPE is important for asset allocation decisions. In particular, it may help to optimally react to contemporaneous changes in economy-wide risk factors. Originality/value To the best of authors’ knowledge, this is the first LPE study which investigates whether a set of macroeconomic factors is actually priced and, therefore, associated with a non-zero risk premium in the cross-section of returns.

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Value Creation and Value Transfer of Leveraged Buyouts: A Review of Recent Developments and Challenges for Emerging Markets

Hung

Tsai

2016

Emerging Markets Finance and Trade

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Listed Private Equity: A Genuine Alternative for an Alternative Asset Class

Cited by 8 publications

References 13 publications

Testing the Efficiency of Globally Listed Private Equity Markets

Testing the Efficiency of Globally Listed Private Equity Markets

Global risk factors in the returns of listed private equity

Value Creation and Value Transfer of Leveraged Buyouts: A Review of Recent Developments and Challenges for Emerging Markets

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