000			03218cam a22003617 4500
001			w17428
003			NBER
005			20211020110756.0
006			m o d
007			cr cnu||||||||
008			210910s2011 mau fo 000 0 eng d
100	1		_aRobinson, David T.
245	1	0	_aCyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity / _cDavid T. Robinson, Berk A. Sensoy.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2011.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w17428
500			_aSeptember 2011.
520	3		_aPublic and private equity waves move together. Using quarterly cash-flow data for a large sample of venture capital and buyout funds from 1984-2010, we investigate the implications of this co-cyclicality for understanding private equity cash flows and performance. In the cross-section, varying the beta used to assess relative performance has a large effect on inference near a beta of zero, but only a modest effect for more reasonable beta estimates. A similar message comes through in the time series. Though funds raised in hot markets underperform in absolute terms, this underperformance is sharply reduced by a comparison to the S&P 500, and disappears entirely at the levels of beta recently estimated in the literature. These findings imply that high private equity fundraising forecasts both low private equity cash flows and low market returns, suggesting a positive correlation between private equity net cash flows and public equity valuations. Examining cash flows directly, we find that this is indeed the case. While both capital calls and distributions rise with public equity valuations, distributions are more sensitive than calls. Net cash flows are therefore procyclical and private equity funds are liquidity providers (sinks) when market valuations are high (low). Venture cash flows and performance are considerably more procyclical than buyout. Debt market conditions also have a significant impact on private equity cash flows. At the same time, most cash-flow variation is idiosyncratic across funds, and most predictable variation is explained by the age of the fund.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aG10 - General _2Journal of Economic Literature class.
690		7	_aG11 - Portfolio Choice • Investment Decisions _2Journal of Economic Literature class.
690		7	_aG20 - General _2Journal of Economic Literature class.
690		7	_aG24 - Investment Banking • Venture Capital • Brokerage • Ratings and Ratings Agencies _2Journal of Economic Literature class.
700	1		_aSensoy, Berk A.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w17428.
856	4	0	_uhttps://www.nber.org/papers/w17428
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w17428
942			_2ddc _cW-PAPER
999			_c330695 _d289257