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Systematic Risk in Publicly Listed Private Equity: An empirical study using time-varying beta models

Jörding, August LU (2025) NEKN02 20251
Department of Economics
Abstract
This thesis investigates the dynamics of systematic risk in publicly listed private equity(PLPE) firms, a hybrid asset class that combines private capital exposure with public market liquidity. Using daily data from 2015 to 2024 and a score-driven modeling framework, we show that beta is highly time-varying and firm-specific, particularly during macroeconomic shocks such as the COVID-19 crisis and the 2022 monetary tightening cycle. Contrary to classical theory, firm betas do not converge in crises, revealing persistent heterogeneity across PLPE firms. These findings challenge the assumptions underlying static asset pricing models and conventional cost of equity estimation. By capturing how systematic risk evolves across firms and regimes,... (More)
This thesis investigates the dynamics of systematic risk in publicly listed private equity(PLPE) firms, a hybrid asset class that combines private capital exposure with public market liquidity. Using daily data from 2015 to 2024 and a score-driven modeling framework, we show that beta is highly time-varying and firm-specific, particularly during macroeconomic shocks such as the COVID-19 crisis and the 2022 monetary tightening cycle. Contrary to classical theory, firm betas do not converge in crises, revealing persistent heterogeneity across PLPE firms. These findings challenge the assumptions underlying static asset pricing models and conventional cost of equity estimation. By capturing how systematic risk evolves across firms and regimes, this thesis extends the literature by offering a more accurate
framework for valuing hybrid assets and managing risk in an increasingly institutionalized segment of the private equity market. (Less)
Please use this url to cite or link to this publication:
author
Jörding, August LU
supervisor
organization
course
NEKN02 20251
year
type
H1 - Master's Degree (One Year)
subject
keywords
Systematic risk, Time-varying beta, Publicly listed private equity, Score-driven models, Cross-sectional heterogeneity
language
English
id
9206433
date added to LUP
2025-09-12 10:41:52
date last changed
2025-09-12 10:41:52
@misc{9206433,
  abstract     = {{This thesis investigates the dynamics of systematic risk in publicly listed private equity(PLPE) firms, a hybrid asset class that combines private capital exposure with public market liquidity. Using daily data from 2015 to 2024 and a score-driven modeling framework, we show that beta is highly time-varying and firm-specific, particularly during macroeconomic shocks such as the COVID-19 crisis and the 2022 monetary tightening cycle. Contrary to classical theory, firm betas do not converge in crises, revealing persistent heterogeneity across PLPE firms. These findings challenge the assumptions underlying static asset pricing models and conventional cost of equity estimation. By capturing how systematic risk evolves across firms and regimes, this thesis extends the literature by offering a more accurate
framework for valuing hybrid assets and managing risk in an increasingly institutionalized segment of the private equity market.}},
  author       = {{Jörding, August}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Systematic Risk in Publicly Listed Private Equity: An empirical study using time-varying beta models}},
  year         = {{2025}},
}