Risk and expected returns of private equity investments : evidence based on market prices

We estimate the risk and expected returns of private equity investments based on the market prices of exchange traded funds of funds that invest in unlisted private equity funds. Our results indicate that the market expects unlisted private equity funds to earn abnormal returns of about one to two percent. We also find that the market expects listed private equity funds to earn zero to marginally negative abnormal returns net of fees. Both listed and unlisted private equity funds have market betas close to one and positive factor loadings on the Fama-French SMB factor. Private equity fund returns are positively correlated with GDP growth and negatively correlated with the credit spread. Finally, we find that market returns of exchange traded funds of funds and listed private equity funds predict changes in self-reported book values of unlisted private equity funds

GRADE equity guidelines 4: guidance on how to assess and address health equity within the evidence to decision process

Objective: The aim of this paper is to provide detailed guidance on how to incorporate health equity within the GRADE (Grading Recommendations Assessment and Development Evidence) evidence to decision process. Study design and setting: We developed this guidance based on the GRADE evidence to decision (EtD) framework, iteratively reviewing and modifying draft documents, in person discussion of project group members and input from other GRADE members. Results: Considering the impact on health equity may be required, both in general guidelines, and guidelines that focus on disadvantaged populations. We suggest two approaches to incorporate equity considerations: 1) assessing the potential impact of interventions on equity and; 2) incorporating equity considerations when judging or weighing each of the evidence to decision criteria. We provide guidance and include illustrative examples. Conclusion: Guideline panels should consider the impact of recommendations on health equity with attention to remote and underserviced settings and disadvantaged populations. Guideline panels may wish to incorporate equity judgments across the evidence to decision framework

Weighting must wait: incorporating equity concerns into cost effectiveness analysis may take longer than expected

Current practice in economic evaluation is to assign equal social value to a unit of health improvement (“a QALY is a QALY is a QALY”). Alternative views of equity are typically considered separately to efficiency. One proposal seeks to integrate these two sets of societal concerns by attaching equity weights to QALYs. To date, research in pursuit of this goal has focussed on candidate equity criteria and methods for estimating such weights. It has implicitly been assumed that should legitimate, valid, and reliable equity weights become available, it would be a straightforward task to incorporate them into as a separate simple calculation after estimating cost per unweighted QALY. This paper suggests that in many situations these simple approaches to incorporating equity weights will not appropriately reflect the preferences on which the weights are based and therefore equity weights must be incorporated directly into the cost effectiveness analysis. In addition to these technical issues, there are a number of practical challenges that arise from the movement from implicit to explicit consideration of equity. Equity weights should be incorporated in economic evaluation, but not until these challenges have been appropriately addressed

Equity prices, productivity growth and the "new economy"

The increase in equity prices over the 1990s has to a large degree been attributed to permanently higher productivity growth that is derived from the ‘new economy’ and related research and development (R&D) expenditures. This paper establishes a rational expectations model of technology innovations and equity prices, which shows that under plausible assumptions, productivity advances can only have temporary effects on fundamentals of equity prices. Using data on R&D capital and fixed capital productivity for 11 OECD countries, the evidence give strong support for the model by suggesting that technology innovations indeed have only temporary effects on equity return

Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal

In this paper we examine the role of mortgage equity withdrawal in explaining the decline of the US saving rate, since when house prices rise and mortgage rates are low, homeowners have an incentive to withdraw housing equity and this may affect the saving rate. We estimate a Vector Error Correction (VEC) model including the sav- ing rate, asset prices, equity withdrawal and interest rates and find that indeed mortgage equity withdrawal is a key determinant of the observed saving pattern

Equity prices and the real economy - A vector error-correction approach

We assess the impact of equity prices on the level of output in the Europe Union economies and the US using Vector Error Correction (VECM) time series techniques. The distinction between impacts in bank based and equity market based economies is shown to be important, with equity prices having a greater impact on output in market-based economies. Share prices are shown to be largely autonomous in variance decompositions, whilst equity price do have a strong impact on output in the UK and US in their variance decompositions. An analysis of impulse responses suggests that large market based economies have more effective fiscal and monetary policy instruments