(Thesis) M.A.: Master of Financial Risk Management
This paper focuses on the analysis of modeling the growth rate of private equity investments and determining its related underlying factors. We calculate the growth rate based on the formula presented by Takahashi and Alexander (2001) and then model the growth rate to be related to the cumulative contribution rate and growth rate of price and earnings(with some lags) in public equity market. First we test the reliability of the model constructed by Hoek using the data of US private equity market from 1990 to 2002. Then we update the dataset up to 2006 for both US and European markets and redo the ordinary linear regression to test the reliability of our newly constructed model. We find that Hoek?s model is not quite reliable and persuasive in associating the growth rate of US private equity market to excess stock market return. In contrast, based on the derivation of change in net asset value (NAV) and results of statistical tests, the growth rate of US and European private equity markets seem to only depend on changes in the price of public equity markets but with the lag of one year for the US market and three years for European market.
Research Project (M.B.A.) - Simon Fraser University
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Supervisor or Senior Supervisor
Thesis advisor: Klein, Peter
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