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The Pricing of Liquidity Risk in Buyout Funds. A Public Market Perspective
JournalArticle (Originalarbeit in einer wissenschaftlichen Zeitschrift)
 
ID 4491441
Author(s) Huss, Matthias; Zimmermann, Heinz
Author(s) at UniBasel Huss, Matthias
Zimmermann, Heinz
Year 2018
Title The Pricing of Liquidity Risk in Buyout Funds. A Public Market Perspective
Journal SBR - Schmalenbach Business Review
Volume 70
Number 3
Pages / Article-Number 285-312
Abstract This paper analyzes the structure and pricing of liquidity risk for international listed buyout funds. We use a time-series framework for our tests which allows us to discriminate between the exposure of buyout funds to two types of liquidity: Market and funding liquidity. We find that the innovation in funding liquidity is a priced factor for buyout funds, while changes in market liquidity are not. Investors require a risk premium of approximately 3% to 7% per annum in order to be compensated for bearing that risk. Controlling for funding liquidity risk decreases the alpha of the asset class to zero.
Publisher Springer
ISSN/ISBN 1439-2917
URL https://link.springer.com/content/pdf/10.1007%2Fs41464-018-0050-6.pdf
edoc-URL https://edoc.unibas.ch/67237/
Full Text on edoc No
Digital Object Identifier DOI 10.1007/s41464-018-0050-6
 
   

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