How persistent is private equity performance? Evidence from deal-level data

The persistence of returns is a critical issue for investors in their choice of private equity managers. In this paper, we analyse buyout performance persistence in new ways, using a unique database containing cash flow data on 13,523 portfolio company investments by 865 buyout funds. We focus on unique realized deals and find that persistence of fund managers has substantially declined as the private equity sector has matured and become more competitive. Private equity has, therefore, largely conformed to the pattern found in most other asset classes in which past performance is a poor predictor of the future.     

An Old-Keynesian Note on Destabilizing Price Flexibility

Tobin's (1975) macrodynamic model on 'recession and depression' is extended by introducing two separate adjustment rules for money wages and the price level. It turns out that sluggish prices and, under an additional assumption, also sticky wages are favourable for local stability of the long-run equilibrium, while a high degree of flexibility tends to be destabilizing. In addition, a disposition to cyclical behaviour is indicated.     

The role of country,regional and global market risks in the dynamics of Latin American yield spreads

We analyze the joint impact of country, regional and global market risks on daily changes in yield spreads of Mexico, Colombia and Brazil. In contrast to previous studies, we consider a homogenous set of liquid Eurobonds which are representative of current emerging bond markets. All risk-factor groups are significant but country-specific differences exist. Spread changes of all three countries are mainly driven by global risk. The second most important contributor to spread changes is country risk for Mexico and Brazil but regional risk for Colombia. The sensitivity of spread changes to risk factors varies with bond maturity.     

Gestaltung der Abschlussprüferhaftung – Implikationen theoretischer Modelle

Namen wie Enron, WorldCom oder Parmalat sind l?ngst nicht mehr nur tragische Firmengeschichten, sie sind Synonyme für korrupte Manager, aber auch für die vermeintlich schlechte Arbeit von Wirtschaftsprüfern. So wundert es kaum, dass die Gesetzgeber mit aller Sch?rfe reagieren: Neue Gesetze werden in immer kürzeren Abst?nden verabschiedet, von denen auch Wirtschaftsprüfer betroffen sind. Für Deutschland hei?t das insb., dass eine Dritthaftung der Abschlussprüfer thematisiert wird und auf lange Sicht wohl unausweichlich ist. Daher stellt sich die Frage, ob das Bestreben einer Haftungsausweitung theoretisch fundiert werden kann. Der Artikel stellt spieltheoretische Forschungsarbeiten, insb. deren wesentlichen Annahmen und Ergebnisse, vor und vergleicht bzw. würdigt diese kritisch. Dabei wird insb. auf haftungsgestaltende Merkmale wie die proportionale vs. gesamtschuldnerische Haftung, die Gef?hrdungs- vs. Verschuldenshaftung oder auf die Begrenzung der Haftung durch fixe Obergrenzen eingegangen.     

Coevolution and stable adjustments in the cobweb model

The paper is concerned with genetic algorithm learning in a cobweb economy. Besides discussing several specification details in the genetic operators, the model includes four different types of firm forecasting rules and subjects the demand side to serially correlated random shocks. The main finding of the simulation experiments is that the genetic algorithm is a reasonably good approximation of the moving Walrasian equilibria, and that this process is characterized by the coevolution of different strategies. Accordingly, it is just the persistent heterogeneity of firms, and the persistently changing composition of this heterogeneity, that achieves stability. In this world, convergence is improved by weak, rather than strong, evolutionary pressure.     

Technical Change and a Falling Wage Share if Profits are Maintained

In the framework of a multi-sectoral and fixed-coefficients Leontief model with capital stock matrix B, the paper addresses the issue of the impact of technical change on income distribution. Comparing two steady-state positions, it is shown that with cost-reducing, capital-using and (uniformly) labour-saving technical change the equilibrium rate of profit will fall, if it is the aggregate wage share which remains fixed, not the absolute level of the real wage. Conversely, the wage share falls if the profit rate does not change. The reactions are ambiguous if, instead of the coefficients of the matrix B, the coefficients of the input–output matrix A increase.     

Bond Rate,Loan Rate and Tobin's q in a Temporary Equilibrium Model of the Financial Sector

The paper sets up a portfolio model of the financial sector with markets for equity, government bonds, money and debt. The comparative statics of the temporary equilibrium are studied analytically and numerically. Subsequent simulations explore the reactions of financial markets in response to stylized oscillations of some of the exogenous variables. These include economic activity, income distribution, inflation, investors' sentiment, and banks' perceived bankruptcy risk of firms. Special emphasis is put on the resulting cyclical pattern of Tobin's q and the interest spread between loan rate and bond rate.