We study the asset allocation problem of an institutional investor (LP) that invests in stocks, bonds, and private equity (PE). PE investments are risky, illiquid, and long-term. The LP repeatedly commits capital to PE funds, and this capital is gradually called and eventually distributed back...

The growing demand for secondary transactions and secondary purchases in the private equity market has emerged as a prominent trend, driven by investors seeking liquidity and access to mature investments with shorter holding periods. Despite the promising nature of secondary transactions, they...

This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...

This paper proposes an approach to determine efficient release prices on the Bordeaux en primeur (primary) market. The model exploits information from the secondary market to estimate efficient release prices. We apply the model to a representative sample of wines from the 2021 vintage. The...

Green bonds have gained prominence in China’s capital market as tools that help to fuel the transition to a climate-resilient economy. Although the issuance volume in the Chinese green bond market has been growing rapidly in recent years, the impact of the green label on bond pricing has not...

Commencing with a Lucas (1978)-type representative investor but with differing endowments, we develop a new theoretical model of counterparty trading inclusive of frictions to show that symmetric liquidity costs, which could arise either from exogenous costs or from order-flow asymmetric...

This study is the first to assess and contribute to a better understanding of the factors affecting the prices of closed-end real estate funds (CEREFs) in Germany’s secondary market. The dataset is based on 16,718 observations of realized transaction prices from 412 different German CEREFs;...

Private equity (PE) funds are growing to dominate capital markets. In conjunction with this growth, secondary markets for PE stakes have also grown. Innovative recent work investigates the valuation discount that sellers of PE stakes incur and attributes this discount entirely to the illiquidity...

The COVID-19 pandemic reached a critical stage in early 2020 causing severe distress and disruption in financial markets, and the United States government declared a federal state of emergency in the second week of March. As institutional investors including mutual funds, pension funds, and...

Measures of private equity performance based on cash flows do not account for a discount-rate risk premium that is a component of CAPM alpha. We create secondary market PE indices and find that PE discount rates vary considerably. NAVs are too smooth because they fail to reflect variation in...

We make four main contributions in this paper related to the theory and practice of benefit cost analysis (BCA). First, we show that most BCAs of policy interventions do not consider the welfare consequences in secondary markets, where goods or services can be complements or substitutes to those...

As a result of the liquidity crisis in October 2008, 18 open-end real estate funds with a total volume of €26 billion in assets under management had to be liquidated. Many shareholders decided to sell their shares on the secondary market instead of awaiting the iterative liquidation of the...

This paper develops a theory of the secondary market trading of financial securitities in which endogenous asset market dynamics generate periods of growing aggregate credit volumes and falling credit standards even in the absence of “financial shocks.” Falling credit standards in turn lead...

While equity crowdfunding has grown in prevalence, investors have had very few opportunities to exit their investments. To address this, several equity crowdfunding platforms have started considering developing secondary markets for buying and selling shares. Using detailed data from the...

Standard measures of PE performance based on cash flows overlook discount rate risk. An index constructed from prices paid in secondary market transactions indicates that PE discount rates vary considerably. While the standard alpha for our index is zero, measures of performance based on cash...

Standard measures of private equity performance based on cash flows overlook discount rate risk. An index constructed from prices paid in secondary market transactions indicates that private equity discount rates vary considerably. While the standard alpha for our index is zero, measures of...

This paper discusses policy implications of a potentialsurge in NPLs due to COVID-19. The study provides an empirical assessment of potential scenarios and draws lessons from previous crises for effective NPL treatment. The paper highlights the importance of early and realistic assessment of...

I estimate the impact of new housing supply on the local rent distribution, exploiting weather shocks during the construction phase as an instrument. New supply decreases rents at all quality levels. Building on a quantitative dynamic model of housing quality and tenure choice, I explain this...

This article demonstrates that a secondary market for U.S. variable annuity policies may be immediately welfare-enhancing to all parties involved: the insurer, the original policyholder, and a third-party investor. Our model reflects relevant market frictions---here, the product's tax...

This article captures the effects of secondary markets on the durable goods with game theory technology. Firstly, under monopoly in production, secondary markets both improve the producer's profits and extend the market size. Secondly, to improve the profits, the producer launches the secondary...

This article captures the effects of secondary markets on the durable goods with game theory technology. Firstly, under monopoly in production, secondary markets both improve the producer's profits and extend the market size. Secondly, to improve the profits, the producer launches the secondary...

Limited partners (LPs) of private equity funds commit to invest with extreme levels of illiquidity and significant uncertainty regarding the timing of capital flows. Secondary markets have emerged which alleviate some of the associated cost. This paper develops a subjective valuation model...

Treasury bill is a short-term debt obligation backed by the U.S. treasury department with a maturity of one year or less. Treasury bills are money market instruments issued by the government of India as a promissory note with guaranteed repayment later. The purpose of treasury bills is to help...