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Abstract
This study aims at dissecting the systematic risk of listed private equity (LPE) empirically through the decomposition of its beta. Instead of testing the assertion that LPE is a good proxy of unlisted private equity, the study intends to provide potential investors with better information regarding LPE’s systematic risk and to have a better reference to obtain the relevant cost of capital when evaluating individual LPE firm.
TOPICS: Private equity, factor-based models, risk management, performance measurement
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