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Title:

The Risk Appetite of Private Equity Sponsors

Document type:
Zeitschriftenaufsatz
Author(s):
Braun, R.; Engel, N.; Hieber, P.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
national
Abstract:
Using a unique proprietary data set of 460 realized buyouts completed between 1990 and 2005, we examine the risk appetite of private equity (PE) sponsors in different states of the PE market and analyse key determinants of deal-level equity risk. We develop a new approach to mathematically model PE investment equity risk based on the Black-Cox default model. We find higher equity volatilities during boom periods. Further, deals conducted by more reputed PE sponsors have lower equity volatilities...     »
Keywords:
Risk Appetite, Equity Volatility, Private Equity
Intellectual Contribution:
Discipline-based Research
Journal title:
Journal of Empirical Finance
Year:
2011
Journal volume:
18
Journal issue:
5
Pages contribution:
815–832
Reviewed:
ja
Language:
en
Semester:
SS 02
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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