Profitability of private equity: mean reversion and transitory shocks
نویسندگان
چکیده
Abstract This paper deals with the analysis of statistical properties profitability yielded by Private Equity from a fractionally integrated viewpoint. Using quarterly data 1981q2 to 2021q3, results support hypothesis stationarity and mean reversion in all cases; however, we observe differences degree persistence across regions, Europe being closest short memory while US shows highest long range dependence thus longer lasting effects shocks. Some policy recommendations obtained are included at end manuscript.
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ژورنال
عنوان ژورنال: Journal of Economics and Finance
سال: 2022
ISSN: ['1055-0925', '1938-9744']
DOI: https://doi.org/10.1007/s12197-022-09606-7