Net Asset Value Discounts in Listed Private Equity Funds

CEFS Working Paper No. 2009-12

59 Pages Posted: 26 Oct 2009 Last revised: 29 Nov 2010

See all articles by Henry Lahr

Henry Lahr

The Open University - Business School; University of Cambridge - Centre for Business Research (CBR)

Christoph Kaserer

Technische Universität München (TUM)

Date Written: November 26, 2010


This paper investigates determinants and consequences of net asset value discounts in listed private equity funds. Listed private equity funds share characteristics of closed-end mutual funds and traditional unlisted private equity funds and can therefore offer insights into both. Our results have particular relevance to the pricing of unlisted private equity funds where no market prices are observable. We find that funds start at a zero initial premium and adapt to the long-term average of -26 % after two years. Premia can be explained by investor sentiment and to some extent by liquidity, but not by managerial ability. A decrease in premia over the first few quarters after a fund's IPO seems to be caused by the timing of fund IPOs. Private equity fund premia also depend on disclosure requirements and systematic risk, which suggests that some information about the fund's portfolio is not reflected in net asset values. Premia predict future stock returns, which also display seasonalities that are related to the calendar year as well as to the fund's fiscal year.

Keywords: Listed Private Equity, Private Equity, Venture Capital, Closed-end Fund Discount, Net Asset Value, Book-to-Market Ratio

JEL Classification: G12, G14, G24

Suggested Citation

Lahr, Henry and Kaserer, Christoph, Net Asset Value Discounts in Listed Private Equity Funds (November 26, 2010). CEFS Working Paper No. 2009-12, Available at SSRN: or

Henry Lahr (Contact Author)

The Open University - Business School ( email )

Milton Keynes, MK6 7AA
United Kingdom

University of Cambridge - Centre for Business Research (CBR) ( email )

Top Floor, Judge Business School Building
Trumpington Street
Cambridge, CB2 1AG
United Kingdom


Christoph Kaserer

Technische Universität München (TUM) ( email )

Arcisstr. 21
Munich, D-80290
+49 89 289 25489 (Phone)
+49 89 289 25488 (Fax)


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