Private Equity Performance and Liquidity Risk
研究发现私募股权与公开股票等资产一样，显著暴露于流动性风险因子，该风险溢价每年约3%，加入后超额收益降为零，且两者通过融资流动性渠道关联。
ABSTRACT Private equity has traditionally been thought to provide diversification benefits. However, these benefits may be lower than anticipated as we find that private equity suffers from significant exposure to the same liquidity risk factor as public equity and other alternative asset classes. The unconditional liquidity risk premium is about 3% annually and, in a four‐factor model, the inclusion of this liquidity risk premium reduces alpha to zero. In addition, we provide evidence that the link between private equity returns and overall market liquidity occurs via a funding liquidity channel.