Publication Type
PhD Dissertation
Version
publishedVersion
Publication Date
10-2022
Abstract
This study analyzes the effect of geographical diversification on global private equity (PE) fund returns. I find that there is a negative correlation between geographical diversification and PE fund returns. To establish the causality between geographical diversification and PE fund returns, I employ an instrument variable analysis where the instrument used is the stock market capitalization value of the host country where the PE fund is based. My results apply to Net IRR, multiple and DPI as dependent variables used to proxy for PE fund returns in the main regression model. A one standard deviation increase in geographical diversification results in a 18.8 percent reduction in PE fund returns from a Net IRR perspective in the main regression model. Fund age and industry diversification helps mitigate the negative correlation between geographical diversification and returns. Evidence indicates that the relationship between geographical diversification and PE fund returns follows an inverted U shape function. Endogeneity treatments further validates the instruments in the model and reinforces study findings.
Keywords
Diversification, Private Equity, Fund Returns, Geographical, Limited Attention, Multivariate Regression
Degree Awarded
Doctor of Business Admin
Discipline
Corporate Finance | Portfolio and Security Analysis
Supervisor(s)
TEO, Song Wee Melvyn; LIANG, Hao; LEE, Kiat Bee Jimmy
First Page
1
Last Page
69
Publisher
Singapore Management University
City or Country
Singapore
Citation
ONG, Victor Hock Keong.
Impact of geographical diversification and limited attention on private equity fund returns. (2022). 1-69.
Available at: https://ink.library.smu.edu.sg/etd_coll/367
Copyright Owner and License
Author
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.