Finance Seminar with Lukas Schmid, USC Marshall School of Business

The Department of Finance is proud to announce the upcoming seminar with Lukas Schmid, USC Marshall School of Business.

Lukas Schmid will present: Credit Market Equivalents and the Valuation of Private Firms

ABSTRACT:
We propose to value leveraged buyout investments by credit market equivalents (CME). Our method relies on the observation that portfolio companies held by private equity funds have loans traded in secondary markets. We exploit their market valuations by constructing a stochastic discount factor that prices loan returns of private equity portfolios from deal-level data. We identify a credit factor model to price buyout cash flows to derive their CME valuation. We find no evidence for buyout outperformance after controlling for credit market factors. Our method works whenever credit and private equity markets are sufficiently integrated, for which we provide evidence.

Location:
Solbjerg Plads 3
2000 Frederiksberg
Room: SPs03

More information will follow.