First Quarter (2003)

Sanjiv R. Das, Murali Jagannathan, and Atulya SarinIn this paper we examine 52,322 financing rounds in 23,208 unique firms, over the period 1980 through 2000 by venture and buyouts funds and estimate the probability of exit, time to exit, exit multiples and the expected gains from private equity investments. The expected multiple (after accounting for… Read more

Renato Staub and Jeffrey Diermeier Volume 1, Number 1, First Quarter 2003 When investing in alternative assets, such as private equity or natural resources – which may be “locked-up” for prolonged periods of time – the question of compensation for illiquidity becomes important. No rational investor will choose the illiquid over the liquid asset unless… Read more

Arik Ben Dor, Ravi Jagannathan, and Iwan Meier Volume 1, Number 1, First Quarter 2003 We illustrate the use of return-based style analysis in practice using several examples. We demonstrate the importance of selecting the right style benchmarks and how the use of inappropriate style benchmarks may lead to wrong conclusions. We show how asset… Read more

Andrew W. Lo, Constantin Petrov, and Martin Wierzbicki Volume 1, Number 1, First Quarter 2003 We introduce liquidity into a mean-variance portfolio optimization framework by defining several measures of liquidity and then constructing three-dimensional mean-variance-liquidity frontiers in three ways – liquidity filtering, liquidity constraints, and a mean-variance-liquidity objective function. We show that portfolios close to… Read more