我国私募股权投资流动性风险研究  

Private Equity Performance and Liquidity Risk in Chinese Market

作　　者：王燕鸣[1] 曹尹南 

机构地区：[1]中山大学岭南学院,广东广州510275

出　　处：《现代财经（天津财经大学学报）》2015年第10期12-22,共11页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

摘　　要：传统意义上认为,投资于一级市场的私募股权投资基金相对于投资于二级市场的公募基金而言更能够规避市场流动性的风险。本文通过1997-2012年691条私募基金从投资到退出的数据构建修正内部收益率MIRR指标,利用包含流动性因素的四因素模型实证检验了我国私募股权投资基金的流动性风险。研究发现私募股权投资基金也暴露于流动性风险当中,定量计算流动性风险因子载荷达到每年62%。进一步实证证明我国私募股权投资基金流动性风险是通过资本流动性渠道传导的。Compared with public equity, traditionally private equity which invests in primary market is to provide diversification benefits, and more able to avoid liquidity risk. However, we use 691 private equity funds data from investment to exit from 1997 to 2012 to construct MIRR indictor, and empirically test the liquidity risk of our country＇s private equity funds using four-factor model. Results suggest that private equity funds are also exposed to liquidity risk. In addition, it shows that the liquidity risk is transmitted via a funding liquidity channel in our Chinese market.

关 键 词：私募股权投资 流动性风险 资本流动性 

分 类 号：F830.59[经济管理—金融学]