FIRN Virtual Seminar Series - Arthur Korteweg, USC

FIRN is the premier network of finance researchers and PhD students across Australia and recently New Zealand.  Researchers from all of the major schools, departments and universities who offer research programs across the various topic areas of finance are members of FIRN.The purpose of FIRN is to provide a strong, cohesive and fiscially efficient approach toward supporting research and advancements in the Australian finance academic community.  FIRN’s program of events and initiatives aims to develop better communication and networking across the sector, better research outcomes, better educated PhD students, better skilled academics, stronger international relationships and a stronger future.

FIRN

Working with the large FIRN member institutions we have developed a virtual seminar series where all FIRN members can participate.  The seminars will be via zoom and will be about an hour long, comprising presentation followed by moderated Q&A.   <h2>In collaboration with the University of Melbourne, FIRN  invites you to a virtual seminar presented by Arthur Korteweg, USC.</h2>Title:  Risk-Adjusted Returns of Private Equity Funds: A New ApproachAbstract: This paper introduces a new approach to benchmarking the performance of individual private equity funds. The new metric, α, is substantially less sensitive to noise in individual fund cash flows compared to the popular public market equivalent (PME) measure and its generalized version (GPME), while having the same aggregate pricing implications for private equity as GPME. We illustrate in simulated data that α is an overall more accurate measure of risk-adjusted fund returns than both PME and GPME. Applying the method to a large data set of private equity fund cash flows, the standard deviation of α across venture capital funds is 31% lower than PME and GPME. For buyout funds, PME and α are quite close, but the metrics deviate in subsamples where beta is different from one. A more accurate performance metric increases the statistical power in regressions of performance on fund size, and reduces bias in performance persistence estimates.
Moderated by Zhuo Zhong, University of MelbourneAll FIRN members are welcome to this event. Please register your interest and you will be sent an email the day before the seminar with the zoom meeting details.

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FIRN Virtual Seminar Series - Arthur Korteweg, USC

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FIRN Virtual Seminar Series - Arthur Korteweg, USC

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