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Title: Das CAPM mit zeitvariablen Beta-Faktoren : eine empirische Untersuchung internationaler Listed Private Equity Märkte
Author(s): Thiele, Ilka
Referee(s): Prof. Dr. Tegtmeier, Lars
Prof. Dr. Rachfall, Thomas
Granting Institution: Hochschule Merseburg
Issue Date: 2022-07-07
Type: Master thesis
Language: German
Publisher: Hochschulbibliothek, Hochschule Merseburg
URN: urn:nbn:de:gbv:542-1981185920-883190
Subjects: Listed Private Equity
alternative Investments
Abstract: In this master thesis, a CAPM-GARCH (1,1) model was used to investigate the risk and return profile of Listed Private Equity companies. The database comprised nine indices of the LPX index family, which can be differentiated by region and private equity investment style. The study period covered January 2004 to December 2020, and a robustness check was also conducted to examine the behavior of Listed Private Equity returns before and after the financial crisis. Within the entire study period, all Listed Private Equity indices considered - with the exception of the LPX Indirect-index - were correctly priced. The LPX Indirect-index had a significant positive alpha within this study period, indicating underpricing within this study period. The estimated beta coefficients ranged from 1.28 (LPX America-index) to 0.50 (LPX Indirect-index) during this period. This confirms the findings of previous studies that the returns of Listed Private Equity indices show different exposures to the world stock market depending on the organizational form and investment style. Moreover, since five of the nine Listed Private Equity indices have a beta significantly higher than 1, the majority of the Listed Private Equity indices exhibit high systematic risk. Furthermore, significant ARCH effects could be detected in all return time series of the Listed Private Equity indices. Moreover, it was shown that the long-term volatility persistence is higher than the short-term volatility persistence for all Listed Private Equity indices. Within the pre-crisis period, significant undervaluation was demonstrated for the LPX Buyout-index, the LPX Direct-index, and the LPX Indirect-index. In contrast, the LPX Venture-index was significantly overvalued during the pre-crisis period. The results for the post-crisis period tended to be consistent with those for the entire study period.
Open Access: Open access publication
License: (CC BY 4.0) Creative Commons Attribution 4.0(CC BY 4.0) Creative Commons Attribution 4.0
Appears in Collections:Wirtschaftswissenschaften und Informationswissenschaften

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