THE DISTRIBUTION OF BETAS IN PRESENCE OF NONTRADED ASSETS

2018 ◽  
Vol 71 (1) ◽  
pp. 90-112
Author(s):  
Seok-Kyun Hur ◽  
Chune Young Chung
Keyword(s):  
Nontraded Assets

Nontraded assets in incomplete markets

1993 ◽  
Vol 37 (5) ◽  
pp. 1149-1168 ◽  
Author(s):  
Lars E.O. Svensson ◽  
Ingrid M. Werner
Keyword(s):  
Incomplete Markets ◽  
Nontraded Assets

Optimal Hedging and Valuation of Nontraded Assets

2000 ◽  
Vol 4 (3) ◽  
pp. 231-251 ◽  
Author(s):  
Lucie Teplå
Keyword(s):  
Optimal Hedging ◽  
Nontraded Assets

scholarly journals A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds

2012 ◽  
Vol 47 (3) ◽  
pp. 511-535 ◽  
Author(s):  
Joost Driessen ◽  
Tse-Chun Lin ◽  
Ludovic Phalippou
Keyword(s):  
Private Equity ◽  
Cash Flows ◽  
Small Sample ◽  
Dynamic Setting ◽  
Equity Funds ◽  
Before And After ◽  
Market Beta ◽  
Small Sample Properties ◽  
Private Equity Funds ◽  
Nontraded Assets

AbstractWe develop a new methodology to estimate abnormal performance and risk exposure of nontraded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method to a sample of 958 private equity funds. For venture capital funds, we find a high market beta and underperformance before and after fees. For buyout funds, we find a relatively low market beta and no evidence for outperformance. We find that self-reported net asset values significantly overstate fund values for mature and inactive funds.

Nontraded assets and the CAPM

1994 ◽  
Vol 38 (3-4) ◽  
pp. 913-922 ◽  
Author(s):  
Philippe Weil
Keyword(s):  
Nontraded Assets

Reflections on Old Age Poverty in Public Rental Housing Estates

2017 ◽  
Author(s):  
Yue Chim Richard Wong
Keyword(s):  
Old Age ◽  
Rental Housing ◽  
Market Value ◽  
The Elderly ◽  
The Public ◽  
Public Rental Housing ◽  
Old Age Poverty ◽  
Nontraded Assets ◽  
Housing Estates ◽  
Housing Units

Privatizing the public rental housing estates would create a very large client pool of elderly homeowners willing to take advantage of mortgage-backed annuity schemes in the era of modern finance. This would create better opportunities for diversifying risks associated with the uncertainty of life expectancy. A bigger market could lead to better terms to the benefit of all participants. And, if the elderly poor in our public housing estates became homeowners, perhaps their children would pay them more attention. In principle, recurrent government funding is not required because it would be financed by land that currently has no market value because public rental housing units are nontraded assets. Selling public rental housing units to sitting tenants would restore the market value of a non- traded asset that could provide old age support for elderly people.

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