Choosing the best Private Equity fund - An analysis of the influence of fund specific characteristics on future returns
(2007)Department of Economics
- Abstract
- By using the Private Equity Intelligence Ltd database, including more than 3300 private equity funds with IRR data and several fund characteristics, I develop a regression model based on both continuously scaled explanatory variables - vintage year, fund size and market returns - as well as three sets of dummy variables - GP location (US or Non-US), fund type (7 different types) and market conditions prior to the vintage year (positive, neutral, poor). The regression has been performed using the transformation method for simplifying the interpretation of dummy variable coefficients proposed by Sweeney and Ulveling (1972). The results show that all explanatory variables or sets of dummy variables, except for market conditions prior to the... (More)
- By using the Private Equity Intelligence Ltd database, including more than 3300 private equity funds with IRR data and several fund characteristics, I develop a regression model based on both continuously scaled explanatory variables - vintage year, fund size and market returns - as well as three sets of dummy variables - GP location (US or Non-US), fund type (7 different types) and market conditions prior to the vintage year (positive, neutral, poor). The regression has been performed using the transformation method for simplifying the interpretation of dummy variable coefficients proposed by Sweeney and Ulveling (1972). The results show that all explanatory variables or sets of dummy variables, except for market conditions prior to the fund vintage, significantly contribute to explaining future returns. The estimate on the vintage year variable is negative and the estimates on both the market return and fund size variable are positive. The estimates on the dummy variable coefficients are significant only in the case of a minor negative deviation for US based funds. Most of the fund type dummy coefficients, although insignificantly different from zero, affect returns in an economically intuitive way. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1337603
- author
- Wilmes, Richard
- supervisor
- organization
- year
- 2007
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Fund, Private equity, dummy variable, alternative investments, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
- language
- English
- id
- 1337603
- date added to LUP
- 2007-09-11 00:00:00
- date last changed
- 2010-08-03 10:51:08
@misc{1337603,
abstract = {{By using the Private Equity Intelligence Ltd database, including more than 3300 private equity funds with IRR data and several fund characteristics, I develop a regression model based on both continuously scaled explanatory variables - vintage year, fund size and market returns - as well as three sets of dummy variables - GP location (US or Non-US), fund type (7 different types) and market conditions prior to the vintage year (positive, neutral, poor). The regression has been performed using the transformation method for simplifying the interpretation of dummy variable coefficients proposed by Sweeney and Ulveling (1972). The results show that all explanatory variables or sets of dummy variables, except for market conditions prior to the fund vintage, significantly contribute to explaining future returns. The estimate on the vintage year variable is negative and the estimates on both the market return and fund size variable are positive. The estimates on the dummy variable coefficients are significant only in the case of a minor negative deviation for US based funds. Most of the fund type dummy coefficients, although insignificantly different from zero, affect returns in an economically intuitive way.}},
author = {{Wilmes, Richard}},
language = {{eng}},
note = {{Student Paper}},
title = {{Choosing the best Private Equity fund - An analysis of the influence of fund specific characteristics on future returns}},
year = {{2007}},
}