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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, LA | - |
dc.contributor.author | Puertolas, F | - |
dc.date.accessioned | 2023-09-12T12:29:57Z | - |
dc.date.available | 2023-09-12T12:29:57Z | - |
dc.date.issued | 2023-09-07 | - |
dc.identifier | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135; | - |
dc.identifier.citation | Caporale, G.M., Gil-Alana, L.A. and Puertolas, F. (2023) 'Modelling profitability of private equity: A fractional integration approach', Research in International Business and Finance, 67 (A), 102087, pp. 1 - 17. doi: 10.1016/j.ribaf.2023.102087. | en_US |
dc.identifier.issn | 0275-5319 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/27166 | - |
dc.description | Data availability: Data will be made available on request. | en_US |
dc.description.abstract | Copyright © 2023 The Author(s). This paper analyses the stochastic behaviour of private equity returns (a measure of profitability) applying fractional integration to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the World and Total) and investment types (Buyout & Growth Equity, Venture Capital & Fund of Funds, Infrastructure, Natural Resources, Real Estate, Subordinated Capital & Distressed as well as the aggregate category All Types). The results support the hypothesis of stationarity and mean reversion in all cases; however, there are differences in the degree of persistence across regions, the series for Europe being the closest to a short-memory process, while those for the US exhibit long memory, which implies that shocks have long-lived effects. Differences are also found in the results by asset class. The implications of these findings for private equity management, profit smoothing and return benchmarking are briefly discussed. | en_US |
dc.description.sponsorship | Prof. Luis A. Gil-Alana gratefully acknowledges financial support from the MINEIC-AEI-FEDER PID2020–113691RB-I00 project from ‘Ministerio de Economía, Industria y Competitividad’ (MINEIC), ‘Agencia Estatal de Investigación’ (AEI) Spain and ‘Fondo Europeo de Desarrollo Regional’ (FEDER), and also from Internal Projects of the Universidad Francisco de Vitoria. | en_US |
dc.format.extent | 1 - 17 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en_US | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | Copyright © 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (https://creativecommons.org/licenses/by/4.0/). | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | private equity | en_US |
dc.subject | profitability | en_US |
dc.subject | fractional integration | en_US |
dc.subject | long memory | en_US |
dc.subject | mean reversion | en_US |
dc.title | Modelling profitability of private equity: A fractional integration approach | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1016/j.ribaf.2023.102087 | - |
dc.relation.isPartOf | Research in International Business and Finance | - |
pubs.issue | A | - |
pubs.publication-status | Published | - |
pubs.volume | 67 | - |
dc.rights.holder | The Author(s) | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | Copyright © 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (https://creativecommons.org/licenses/by/4.0/). | 1.83 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License