Private Equity Investitionen in kotierte Unternehmen: Neue Forschungsergebnisse

Olaf Stotz / Gabrielle Wanzenried / Karsten Döhnert

This paper analyses 689 open-market purchases of public equity by private equity investors (PEIs) between 1999 and 2008. On average,we find a positive market reaction to the public announcement of such purchases in both the short and long term. Based on the long term event study approach of Mitchell and Stafford (2000), we also found that a portfolio of stocks bought by private equity investors achieves a yearly alpha of between 8.5% and 13.5%. In general, the short-term alphas and the long-term alphas are more pronounced when private equity investors buy a listed stock of their home country than when they invest abroad. This justifies a home bias in private equity investments. We also found that investment in small capitalized stocks produces higher excess returns than an investment in large stocks. The abnormal returns are lower for longer time periods, but they are significant in the short-term and over a 1-year horizon. Thus, we find evidence for a size effect in private equity investments.

Published in «Journal of Economics & Business»
Number 62, p. 562 – 576

The Authors:

Olaf Stotz holds the BHF-BANK Endowed Chair of Private Wealth Management at Frankfurt School of Finance & Management since 2008. Having studied in Karlsruhe and Durham, he worked in the financial industry for several years. He completed his Ph.D. at Aachen University where he also held a position as an Assistant Professor in Finance. His current research interests include asset pricing, behavioral finance, empirical finance and wealth management.

Gabrielle Wanzenried is a Professor of Banking and Finance at the Lucerne University of Applied Sciences and Arts, Institute for Financial Services Zug IFZ. She holds a masters degree from the London School of Economics and a Ph.D. from the University of Bern. She also spent over two years as a research fellow at the University of California in Berkeley. Her research interests include corporate finance, private equity and managerial economies.

Karsten Döhnert is a Professor of Banking and Finance at the Lucerne University of Applied Sciences and Arts, Institute for Financial Services Zug IFZ. He received his doctoral degree from the University of Basle. His research interests include empirical finance, corporate finance, asset allocation and asset management.