The “sell in May” effect: an empirical investigation of globally listed private equity markets

2019 ◽  
Vol 45 (6) ◽  
pp. 793-808 ◽  
Author(s):  
Carmen Bachmann ◽  
Lars Tegtmeier ◽  
Johannes Gebhardt ◽  
Marcel Steinborn
Keyword(s):  
Private Equity ◽  
Equity Markets ◽  
Ordinary Least Squares ◽  
Valuable Insight ◽  
Time Varying ◽  
Content Type ◽  
Economic Significance ◽  
Asset Class ◽  
Asset Managers ◽  
Autoregressive Conditional Heteroscedasticity

Purpose The purpose of this paper is to test the so-called “Sell in May” effect in globally listed private equity markets based on monthly data covering the period 2004–2017. Design/methodology/approach Ordinary least squares regressions, generalized autoregressive conditional heteroscedasticity regressions and robust regressions are used to investigate the existence of the “Sell in May” effect in globally listed private equity markets. Additionally, the authors conduct robustness checks by dividing the sample period into two subperiods: pre-financial and post-financial crisis periods. Findings The authors find limited statistically significant evidence for the “Sell in May” effect. In particular, the authors observed a statistically significant “Sell in May” effect when taking time-varying volatility into account. These findings indicate that the “Sell in May” effect is driven by time-varying volatility. By contrast, economic significance as measured by visual return inspection and the magnitude of the estimated “Sell in May” coefficients in combination with their positive signs was found to be considerable. Practical implications The findings are important for all kinds of investors and asset managers who are considering investing in listed private equity. Originality/value The authors present a novel study that examines the “Sell in May” effect for globally listed private equity markets by using LPX indices, offering valuable insight into this growing asset class.

scholarly journals Modelling the drivers of the UK multi-let industrial property market: an exploratory study

2020 ◽  
Vol 38 (4) ◽  
pp. 585-596
Author(s):  
David Higgins ◽  
Tsvetomira Vincent ◽  
Peter Wood
Keyword(s):  
Real Estate ◽  
Hedonic Pricing ◽  
Valuable Insight ◽  
Pricing Model ◽  
Property Market ◽  
Industrial Property ◽  
Content Type ◽  
Hedonic Pricing Model ◽  
Significant Difference ◽  
Asset Class

PurposeMulti-let industrial (MLI) estates are an emerging £15 billion UK real estate asset class that can offer attractive returns, a diversified income base, constrained supply and extensive management opportunities to add value within an operational platform. This investment appeal is supported by the evolving MLI occupier market with the growth of small to medium enterprises (SME) requiring modern urban business space driven in part by technology advances offering new streams of supply chain connectivity between businesses and potential clients at a local level.Design/methodology/approachTo understand more about MLI properties, this study utilises a hedonic pricing model to quantify property values as a function of defined variables. The dataset used for this research is a sample portfolio of 26 multi-let industrial properties. The dataset was analysed alongside eleven physical, financial and locational factors. Interestingly, the hedonic pricing model results showed that only four characteristics are value-affecting across the selected properties: namely (1) Granularity of the property income, (2) Distance from the nearest motorway, (3) Distance to the nearest town centre and (4) Gross internal floor area. A chi–test confirmed that there was no significant difference between the modelled values and the supplied property valuations.FindingsThis preliminary study offers valuable insight into MLI property market drivers and could easily form a simple decision-making tool to examine potential MLI opportunities in this developing real estate asset class.Originality/valueIn detailing these key MLI property features, current research is limited and focused primarily on market commentary. New knowledge on the MLI property market can provide a platform creating interesting opportunities for fund managers with an intensive management engagement strategy.

Global integration of the Gulf cooperation council markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Xiaobing Zhao
Keyword(s):  
Structural Breaks ◽  
Equity Markets ◽  
Gulf Cooperation Council ◽  
Time Varying ◽  
Sample Period ◽  
Global Integration ◽  
Content Type ◽  
International Equity Markets ◽  
International Equity ◽  
Global Investors

PurposeThis paper investigates the global financial integration of the Gulf Cooperation Council markets, which is important for financial economists, global investors and policymakers.Design/methodology/approachThe first step is to estimate a benchmark one-factor model and multifactor models over the entire sample period to obtain the time-invariant global integration estimates for the Gulf Cooperation Council markets. Because the global integration of the Gulf Cooperation Council markets may be time varying, the second step is to use 24-month rolling regressions to estimate the time-varying integration estimates. To explicitly test for structural breaks in global integration, this study applies a supremum Wald test to endogenously search for structural breaks.FindingsEmpirically, consistent evidence suggests that the Gulf Cooperation Council markets are increasingly integrated with international equity markets at different levels of financial development and from different regions. However, compared to other emerging and frontier markets, the global integration of the Gulf Cooperation Council markets is still relatively low, suggesting that these markets still offer significant diversification benefits for global investors.Originality/valueThis study contributes to the literature by systematically investigating the global integration of the Gulf Cooperation Council markets with monthly data (to account for the gradual information diffusion in international equity markets) and a longer sample period (to more robustly identify the trend in the global integration).

Private equity in 401(K) plans – a trillion dollar opportunity?

2020 ◽  
Vol 21 (2/3) ◽  
pp. 85-91
Author(s):  
Robert L. Sichel ◽  
William P. Wade ◽  
Ruth E. Delaney ◽  
Kristina M. Zanotti ◽  
Michael McGrath
Keyword(s):  
Asset Allocation ◽  
Asset Management ◽  
Institutional Investors ◽  
Private Equity ◽  
Direct Access ◽  
Content Type ◽  
Regulatory Guidance ◽  
Private Market ◽  
Different Types ◽  
Asset Managers

Purpose To explain recent regulatory guidance for different types of stakeholders, including asset managers, fund complexes, and institutional investors. Design/methodology/approach Summary of recent regulatory guidance and explanation for different types of stakeholders, including asset managers, fund complexes, and institutional investors. Findings While the U.S. Department of Labor’s (DOL’s) letter does not open the door to direct access to Private Market Investments by 401(k) plan participants, it does provide a framework for the expanded use of private equity and, we believe, other types of Private Market Investments in managed asset allocation funds such as target date funds. Originality/value Practical guidance from experienced asset management and investment funds and ERISA lawyers.

Private equity investment in power generation projects: evidence from India

2016 ◽  
Vol 10 (4) ◽  
pp. 617-641 ◽  
Author(s):  
A. Thillairajan ◽  
Monalisa Behera
Keyword(s):  
Power Generation ◽  
Least Squares ◽  
Private Equity ◽  
Cost Effective ◽  
Ordinary Least Squares ◽  
Least Squares Regression ◽  
Power Sector ◽  
Content Type ◽  
Governance Practices ◽  
The Impact

Purpose Private equity (PE) has emerged as an important source of capital for infrastructure in recent years. There have been more than 2,000 deals by PE infrastructure funds till 2012, with annual investments in the range of $100-120bn. Substantial proportion of these investments has been in the energy and the power sector. This paper aims to compare power generation projects with and without PE investment. Design/methodology/approach In this study, 148 power generation projects that were implemented in India during 2004-2011 were used for the analysis. Ordinary least squares and three-stage least squares regression have been used to analyze the impact of PE investment on unit project costs and project commissioning time. Findings Projects with PE investment had lower unit capacity costs as compared to power projects that did not have PE investment. This indicated the ability of PE investors to select, invest and develop those projects that are cost-effective. However, projects with PE investment had longer commissioning time. This can be attributed to the active monitoring and governance practices that were associated with PE investment. Practical implications The results highlight the key role that PE investors can play in power sector development in developing countries. Apart from providing capital to capital-starved economies, PE investors can help in developing cost-effective projects and contribute to sector development by institutionalizing robust processes and governance practices. Originality/value This is one of the earliest studies to analyze the impact of PE investment on the power sector.

Exchange-traded fund investing as European open-end diversified core equity real-estate funds' cash substitute

2020 ◽  
Vol 38 (2) ◽  
pp. 156-160
Author(s):  
Arvydas Jadevicius
Keyword(s):  
Real Estate ◽  
Design Methodology ◽  
Private Equity ◽  
Real Estate Market ◽  
Content Type ◽  
Responsible Investment ◽  
Asset Class ◽  
Private And Public ◽  
Exchange Traded Fund ◽  
Practical Implications

PurposeThe study is set to explore a viability for substituting part of cash holdings within European open-end diversified core equity (ODCE) real-estate funds with listed real-estate exchange-traded fund (ETF) alternative. Academically, this research bridges a knowledge gap within private real-estate market research.Design/methodology/approachFirst, the study investigates the correlation between ODCE and ETFs to assess series interdependence. Next, the study generates a blended ODCE and ETF portfolio and examines its performance by quantifying a) the contribution to returns and b) the diversification benefits.FindingsThe findings suggest that a 1 percent spare cash allocation to an ETF increases ODCE fund returns by few bps although the diversification benefits are more nuanced.Practical implicationsReal estate and other investment vehicles are encouraged to review their cash-holding strategies. Real estate, infrastructure or private equity vehicles could designate a small proportion of available cash to asset class-specific ETFs. These cash substitutes are likely to increase returns and could strengthen diversification, although there are some caveats. For ESG-conscious investors, sustainable ETFs and associated passive conduits with strong responsible investment characteristics could provide cash replacement alternatives at the margin.Originality/valueThe study adds additional evidence on the contested issue of blending private and public real estate.

Performance and significance of UK-listed infrastructure in a mixed-asset portfolio

2014 ◽  
Vol 7 (2) ◽  
pp. 199-215 ◽  
Author(s):  
Joseph Bamidele Oyedele
Keyword(s):  
Hedge Funds ◽  
Private Equity ◽  
Global Financial Crisis ◽  
The Body ◽  
Infrastructure Investment ◽  
Content Type ◽  
Investment Return ◽  
Trade Offs ◽  
Asset Portfolio ◽  
Asset Class

Purpose – This paper aims to examine the performance of UK-listed infrastructure over a unique investment period covering the global financial crisis and investigates the significance of UK infrastructure in a multi-asset portfolio. The analysis reveals the level of correlation of UK infrastructure with other major assets classes and substantiates the potential diversification benefits of including UK infrastructure within a mixed-asset portfolio. Design/methodology/approach – The study uses monthly investment return indices obtained from Thomson Reuters DataStream over a ten-year period (2001-2010). The paper analyzed the UK-listed infrastructure investment return characteristics including average annual return, annual risk, Sharpe indices, mean variance portfolio and maximum return portfolio and computes the efficient portfolio frontiers using the risk-solver optimization tool. Findings – The performance results show that UK infrastructure produced better risk-return trade-offs than those of UK property, private equity, hedge funds and UK stocks over 2001-2010. Overall, for the ten-year period, UK Water was the best performing asset class, outperforming all other asset classes having the highest Sharpe ratio of 0.75. Practical implications – Using the monthly return indices over the ten-year period, UK-listed infrastructure investment was found to play a consistently significant role in the optimality of mixed-asset portfolios. However, the diversification benefits were more return enhancing than risk reducing, offering investors a platform for matching investment objectives with expectations resulting from a better understanding of the characteristics of UK-listed infrastructure investments. Originality/value – As investors seek better understanding of the performance of infrastructure across the globe, with most previous studies focusing on Australia, USA and China, the paper makes significant contribution to the body of knowledge by focusing on UK, a promising investment space for infrastructure industry. Also, given the debate surrounding the emergence of infrastructure as a separate asset class, the paper particularly projects the potential benefits of investing in UK-listed infrastructure, offering investors a distinctive platform to launch into a vibrant asset class.

Higher private financing could boost mining investment

2018 ◽  
Keyword(s):  
Private Equity ◽  
Equity Markets ◽  
Equity Issuance ◽  
Content Type ◽  
Mining Investment ◽  
Major Shift ◽  
The Cost ◽  
Private Financing ◽  
Libor Rate ◽  
Industrial Metals

Subject Private mining finance. Significance The financing of mining and exploration projects is undergoing a major shift. Large miners have traditionally accessed affordable debt while smaller explorers and developers relied on equity markets, buoyed by retail interest, particularly in Canada and Australia. Additional capital has been provided by royalties, metal offtake, streaming or farm-ins by majors, whereby an operator buys or acquires an interest in another operator’s lease. Despite higher prices in the last two years, capital remains scarce, especially for newcomers. However, private equity is developing knowledge of this volatile and technical sector. Impacts The three-month Libor rate has doubled in the last twelve months; this will significantly increase the cost of financing new projects. Arbitrageurs will try to profit from equity issuance diluting existing shareholders ownership; convertible debentures will be a focus. In late 2017 Glencore launched a major royalty company specialising in industrial metals, the largest to specialise in this.

scholarly journals Testing the Efficiency of Globally Listed Private Equity Markets

2021 ◽  
Vol 14 (7) ◽  
pp. 313
Author(s):  
Lars Tegtmeier
Keyword(s):  
Random Walk ◽  
Market Efficiency ◽  
Private Equity ◽  
Global Financial Crisis ◽  
Equity Markets ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Variance Ratio ◽  
Asset Class ◽  
The Global Financial Crisis

This study is the first to investigate the efficient market hypothesis in its weak form and the random walk behaviour of globally listed private equity (LPE) markets represented by nine global, regional, and style indices based on weekly data covering the period from January 2004 to December 2020. Autocorrelation tests, variance ratio tests, and a non-parametric runs test are employed. The results of the autocorrelation tests and the variance ratio tests tend to correspond for all indices, and they reject the random walk hypothesis for the returns of all LPE indices under investigation. In contrast, the runs test for direct weak-form market efficiency cannot reject the null hypothesis of a random walk process for almost all LPE indices under investigation. Furthermore, there is no evidence that the market efficiency of globally listed private equity markets has improved after the global financial crisis. Due to the fact that the rapidly growing asset class of LPE as a form of private equity is still relatively unknown, the implications of the results of our paper are relevant for investors, policy makers, and academics alike. In addition, the results provide valuable insights to better understand the emerging asset class of LPE.

Atlante will be no panacea for what ails Italy's banks

2016 ◽  
Keyword(s):  
Private Equity ◽  
Banking System ◽  
Banking Union ◽  
Equity Fund ◽  
Content Type ◽  
Private Equity Fund ◽  
Asset Class ◽  
The Government ◽  
Regional Banks ◽  
The Eu

Subject Italian banks and Atlante fund. Significance Italian banking is at a critical juncture. The large volume of non-performing loans (NPLs), uncertainties related to the first steps of the EU banking union and changes in the resolution framework are impairing confidence in the system. The bail-in of four regional banks at end-2015 was a wake-up call, prompting the government to sponsor the Atlante (Atlas) private equity fund to reduce the risk of further bail-ins. Impacts Atlante is the last resort to avoid a potential meltdown of the Italian banking system. The Treasury's estimate of the nominal NPL amount that the fund could buy is likely to prove optimistic. Atlante is unlikely to boost NPL demand much, as this is a risky asset class to securitise, with high leverage.

A dual portfolio approach to a student managed fund

2019 ◽  
Vol 46 (5) ◽  
pp. 675-684
Author(s):  
Daniel Huerta ◽  
Mark Pyles
Keyword(s):  
Portfolio Management ◽  
Private Equity ◽  
Learning Experience ◽  
Management Program ◽  
Public And Private ◽  
Content Type ◽  
Student Placement ◽  
Equity Funds ◽  
Asset Class ◽  
Private Equity Funds

Purpose The purpose of this paper is to describe an investment program that offers students with the opportunity to simultaneously manage a private asset fund and a public asset fund. The program has been in operation since 2013 and has made significant progress in student placement and connectivity with local, regional and national financial firms. Design/methodology/approach The authors describe the structure, methods used and challenges encountered in this dual portfolio environment and add relevant thoughts for discussion. The authors discuss potential conflicts of interests that may arise in managing a private equity portfolio, the concern of proper deal flow, the issue of the investment timeline when investing in private equity and the problems encountered when measuring private equity performance. Findings While public asset funds have been around for decades and are relatively well accepted throughout all levels and types of higher education institutions. The uses of private equity funds, though not unheard of, are much less prevalent. Allowing the same group of students to manage both type of portfolios is relatively unique and provides with a more comprehensive learning experience. Originality/value A primary distinguishing attribute of this program is that accepted students are given the opportunity to simultaneously manage both public and private equity assets throughout an academic year. The goal is to create a comprehensive portfolio management program that replicates a changing investment management environment where private equity is an increasingly significant asset class.

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