A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds

By Joost Driessen, Tse-Chun Lin, Ludovic Phalippou. Journal of Financial and Quantitative Analysis, 2012

124 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

How has the financial crisis affected earnings management? A European study (2015, unknown): “For instance, Driessen et al. (2012) studying a new methodology to estimate abnormal performance and risk exposure for mutual funds, used a Monte Carlo simulation to provide numerical evidence of the statistical consistency of their method.”
Risk-Adjusting the Returns to Venture Capital (2015, unknown): “Conversely, Phalippou and Zollo (2005), Phalippou and Gottschalg (2009), and Driessen, Lin, and Phalippou (2012) find below-market returns.”
Risk and Return Characteristics of Venture Capital-Backed Entrepreneurial Companies (2010, unknown): “The SMB loadings are similar to loadings reported by Davis, Fama, and French (2000) and Fama and French (1995) for a portfolio of small public growth stocks.”
Estimating Private Equity Returns from Limited Partner Cash Flows (2014, methodology): “The procedure uses a similar identification strategy to that of Cochrane (2005), Korteweg and Sorensen (2010), Driessen, Lin, and Phalippou (2012), Franzoni, Nowak, and Phalippou (2012), and Korteweg and Nagel (2013).”
Venture Capital and Other Private Equity: A Survey (2011, unknown): “Finally, (Driessen et al. 2009) develop and apply a GMM-style methodology to a fundlevel cash flows dataset consisting of 958 mature private equity funds.”