VGSF - WU Vienna - LC

Neil Stoughton

Campus WU D4.0.039 12:00 - 13:00

Organizer WU Vienna

The Fin­ance Brown Bag Sem­inar is held by the In­sti­tute for Fin­ance, Bank­ing and In­sur­ance (WU Vi­enna) and the Vi­enna Gradu­ate School of Fin­ance (VGSF). It serves as a present­a­tion plat­form for PhD stu­dents, fac­ulty mem­bers, and vis­it­ors. An over­view of BBS on the web­site of the In­sti­tute for Fin­ance, Bank­ing and In­sur­ance.

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May 15th, 2019, 12:00-13:00, D4.0.039

Neil Stoughton

Title: "Dis­cre­tion­ary NAVs"

Ab­stract

A re­l­at­ively re­cent trend is par­ti­cip­a­tion by lead­ing mu­tual funds and fund fam­il­ies in the private equity mar­ket, which has opened the door of this seg­ment of the economy to a broader set of in­vestor par­ti­cipants. Funds have sub­stan­tial dis­cre­tion over the pri­cing of these in­vest­ments and, in turn, net as­set val­ues. We ex­am­ine stra­tegic pri­cing be­ha­vior in a sample of 152 mu­tual funds with pos­i­tions in 314 private firms. We find het­ero­gen­eity in fund fam­ily dis­cre­tion­ary pri­cing de­cisions. Some funds are fre­quent re­valu­ers while oth­ers are in­fre­quent. Some funds are lead­ers, while oth­ers are fol­low­ers. We find that private equity pri­cing is pro­cyc­lical with re­spect to re­l­at­ive fund per­form­ance, which is con­sist­ent with the the­or­et­ical model. We also ex­am­ine fund ows and ob­serve that in­vestors respond pos­it­ively to re­por­ted private firm per­form­ance and ap­pear to ra­tion­ally anti­cip­ate pre­dict­able changes in private equity valu­ations.



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