Michael Weisbach (Ohio State)

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Michael Weisbach


A seminar by Michael Weisbach from the Ohio State University

Title: Private Equity Indices Based on Secondary Market Transactions

Abstract: We propose a new approach to evaluating the performance of private equity investments using actual prices paid for LP shares of funds transacted in secondary markets. Our transaction-based indices exhibit substantially higher CAPM betas and lower alphas than NAV-based indices even after adjusting for staleness in NAVs. Our indices load on an additional funding liquidity factor that is uncorrelated with NAVbased index returns. In comparison, a listed PE index exhibits similar loadings on the market and funding liquidity factor as our indices, but significantly lower average returns. Our indices are useful for quarter-toquarter benchmarking and valuing illiquid stakes in funds.  

Start date:

11am Friday, 13 Dec 2019

End date:

12.30pm Friday, 13 Dec 2019




Michael Weisbach

Updated:   10 December 2019 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team