REVIEW OF FINANCE ·VOL.20, ISSUE. 3 · MAY 2016

私募股权投资中的投资者规模和表现

作者：A. Dyck (University of Toronto), L. Pomorski (AQR Capital Management, LLC)

摘要：我们证明了在20世纪90年代和21世纪，持有显著规模私人股权投资（PE）的固定收益养老金计划所得的收益比持有小规模所得的收益更高。PE持有规模每一个单位标准差的增加会带来年收益4%的增长。由于避免基金中基金和直接投资可以节约昂贵的中介费用，因此这种超常表现中多达1/3的部分都来自低成本的好处。超常表现的大部分来源于较高的总收益，而这些较高的总收益只能部分地被准入资格和经验解释。我们推测规模越大的PE投资者拥有越强的尽职调查能力去克服PE中的信息不对称问题。

Investor Scale and Performance in Private Equity Investments

A. Dyck (University of Toronto), L. Pomorski (AQR Capital Management, LLC)

ABSTRACT

We document that defined benefit pension plans with significant holdings in private equity (PE) earn substantially greater returns than plans with small holdings, in both the 1990s and the 2000s. A one standard deviation increase in PE holdings is associated with 4% greater returns per year. Up to one-third of this outperformance comes from lower costs that we link to economizing on costly intermediation by avoiding fund-of-funds and investing directly. The bulk of the outperformance comes from superior gross returns only partially explained by access and experience. We conjecture that larger PE investors have superior due diligence and ability to bridge information asymmetries in PE.

原文链接：

http://rof.oxfordjournals.org/content/20/3/1081.abstract

翻译：陈然