Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-18959
Title: Predictive powers: performance of US private equity buyout funds and their time lag to the US public markets
Authors : Zwinselman, Yannick
Advisors / Reviewers : Brunner, Hans
Extent : 54
Publisher / Ed. Institution : ZHAW Zürcher Hochschule für Angewandte Wissenschaften
Publisher / Ed. Institution: Winterthur
Issue Date: 2019
License (according to publishing contract) : CC BY-NC-ND 4.0: Attribution - Non commercial - No derivatives 4.0 International
Language : English
Subject (DDC) : 332.6: Investment
Abstract: North America, with USD 272 billion of aggregated capital raised for private equity funds (over 60% of the global volume), is the world’s most important market for private equity, a well-established alternative asset class. Despite vast research on wave patterns of the private equity market and the identification of drivers on an aggregated level, academia still lacks the provision of indicators of ideal private equity investment timing. Therefore, this study attempts to shed some light on the time lag of the relationship between the increase in private equity deal activity influenced by US public market proxies and subsequent upsurging performance of US private equity funds. This study employs quantitative research methods to approximate the mentioned time lag. A proprietary data set by courtesy of Preqin, a globally leading provider of private equity data, containing comprehensive cash flow data from over 800 private equity buyout funds from the vintage years1990 – 2013 was obtained and enriched with various performance measures, such as the Internal Rate of Return or the Distribution to Paid-in Capital Multiple. Subsequently, the relational theoretical framework was considered for the development of public market proxies (mainly derived from aggregated company-level data from the S&P 500 Index), which were assessed for their correlation with lagged private equity performance data. It was concluded that both the neoclassical theory (measured using the operating margin, profit margin and capital expenditure) as well as the concept of information asymmetry (measures using the price-to-book ratio of non-dividend paying companies and the spread thereof to the price-to-book ratio of dividend paying companies) allow for the estimation of the time lag. Based on cross-multiplication of individual time lags and an isolated control and robustness test, it was concluded that three (vintage) years after public markets improved US private equity returns follow suit.
Departement: School of Management and Law
Publication type: Bachelor thesis
DOI : 10.21256/zhaw-18959
URI: https://digitalcollection.zhaw.ch/handle/11475/18959
Appears in Collections:BSc Betriebsökonomie

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