Researcher ORCID Identifier
Date of Submission
Campus Only Senior Thesis
Bachelor of Arts
Philosophy, Politics, and Economics (PPE)
2023 Daniel W Krasemann
In this paper, I assess the ability of premiums and discounts to predict future listed private equity returns. I hypothesize that the premiums and discounts of the net asset value of the listed private equity funds with monthly lags hold forecasting power. I use four distinct listed private equity indices and their respective NAV P/D values for my research. To ensure my analysis is realistic in scope, I incorporate a variety of macroeconomic variables that have been proven to influence listed private equity returns. I structure my time-period analysis around the 2008-09 financial crisis. I generally find that a two-month lag has a negative relation with LPE returns and is significant for the whole time period, but a one-month lag has a negative relation and is significant for the time period after the financial crisis, although there are discrepancies between the four indices. My findings indicate the ability of premiums and discounts to forecast LPE returns with either a one- or two-month lag. I propose explanations for the divergence in lags. I conclude that at the moment, a one-month lag of the premiums and discounts is most effective in forecasting LPE returns.
Krasemann, Daniel, "Listed Private Equity Returns: The Forecasting Power of Premiums and Discounts" (2023). CMC Senior Theses. 3300.
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.