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Niklas Wagner

is Professor of Finance and Financial Control at the University of Passau, Germany. After receiving his PhD in Finance, he held postdoctoral appointments at the Haas School of Business, U.C. Berkeley, and at Stanford GSB, thereafter finishing his habilitation doctoral degree at TU Munich. Professor Wagner has co-authored various contributions in finance, covering research in the areas of asset management, empirical asset pricing, applied financial econometrics as well as derivatives and risk management. Professor Wagner has co-edited book volumes on derivatives and risk management, currently is an associate editor of Economic Modelling, Emerging Markets Review, Finance Research Letters, the Journal of International Financial Markets, Institutions and Money, and the International Review of Financial Analysis, and is Editor-in-Chief of Studies in Economics and Finance.

http://www.wiwi.uni-passau.de/en/financial-control/team/niklas-wagner/

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Axel Buchner; Christoph Kaserer; Niklas Wagner: Private Equity Funds: Valuation, Systematic Risk and Illiquidity

We derive a novel model of the cash flow dynamics and equilibrium values of private equity funds. Based on intertemporal capital asset pricing results for an investor with logarithmic utility, the model explains the typical life cycle patterns of systematic fund risk, expected returns and fund value. Given our model, we also consider the effects of market illiquidity. Model calibration for a sample of European funds illustrates that sample funds have an average risk-adjusted excess value of 14 percent relative to committed capital, which amounts to estimated illiquidity costs of 1.4 percent annually. We show how equilibrium expected fund returns, systematic risk, and illiquidity discounts decrease over fund lifetime. As compared to venture capital funds, buyout funds on average exhibit lower systematic risk, faster payback, lower life cycle maximum values, but higher initial excess values.

Last modified: 2018.11.30.