Logo
Munich Personal RePEc Archive

Estimating illiquid asset class alpha and beta using secondary transaction prices

Godwin, Alexander (2022): Estimating illiquid asset class alpha and beta using secondary transaction prices.

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_112546.pdf

Download (536kB) | Preview

Abstract

This paper introduces a novel method for estimating the true economic alpha and market beta of illiquid asset classes using secondary transaction prices. Furthermore, this approach can be used to measure the degree of stale pricing in the reported returns of such asset classes. We apply this methodology to private equity, venture capital, private real estate, and private natural resource asset classes. A significant degree of stale pricing was found with estimates of market beta significantly higher than those obtained using reported returns for all four of the asset classes considered. No asset class exhibited statistically significant positive alpha.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.