PE估值研究

Private equity has become one of the most important asset classes around the world. Despite its prevalence in the real world, there is almost no academic theory that guides the practice of PE investments. While it is generally accepted that the average return of private equity (PE) funds exceeds the risk-adjusted return on the public market, it remains controversial whether this outperformance is sufficient to compensate investors/limited partners (LPs) for the costs of risks and long-term illiquidity. Moreover, there is little formal analysis of these costs to help guide LPs' investment decisions, despite their large and increasing PE allocations (e.g., Yale University's endowment currently targets a 34% PE allocation). To evaluate the costs of PE investments, we plan to model a risk-averse LP's portfolio-choice problem, investing in the risk free asset, and public-and private-equity. To evaluate the costs of PE investments, we analyze the portfolio-choice problem of a risk-averse LP that invests in a risk-free asset, and public and private equity. We need to capture several key institutional features of PE investments such as illiquidity, idiosyncratic risk, 2-20 managerial compensation and so on. There is no well developed theory that equips practitioners and academics to better understand the highly sophisticated nonlinear tradeoffs. We plan to develop the state-of-the-art dynamic optimizing framework with these rich institutional features. More broadly, our theoretical framework will build on modern consumption-saving/portfolio choice theory, modern q-theory of investment in macro, the real options theory of investment, and dynamic corporate finance, to just name a few. We plan to develop a coherent and analytically tractable dynamic framework to incorporate various important frictions including agency conflicts, incomplete markets, adverse selection/informational asymmetry. All of these features are important for illiquid investments subject to delegated managements. These theoretical research belongs to frontier and hot spot of the international academic, and has significant contributions for the development of investment and financing theory, and pricing theory under incomplete markets.

私募股权投资(PE)是20世纪以来全球金融领域最成功的创新成就之一。然而，相对与PE行业的迅猛发展，其理论研究却显著滞后。尤其是针对PE估值理论的研究，在国内外几乎空白，而传统的资产定价方法又无法体现PE投资的流动性约束和特征风险等特性。为此，本项目放开完全市场的假设，使用效用无差别定价的方法，从托宾Q理论,PE投资的动态退出，市场投资组合和投资者的最优消费/储蓄多个视角，解决了PE的估值问题和风险管理问题，以及更加深入的最优契约问题，最优资本结构和股权结构等问题，从定性和定量上给出投资者实现自身消费效用最大化时各决策与动态估值之间的协同互动。这些研究偏向基础理论，属于国际学术热点和前沿，具有开创性和相当大的难度，体现了人类对金融问题从简单到复杂的认识过程，本研究对于发展和完善非完全市场下的投融资理论和定价理论具有重要的理论意义，对国家经济的长期稳定发展具有很强的现实意义。

在项目执行期间，我们按照原计划有效地推动了本项目的研究工作。目前，我们已经全面完成了本课题的研究工作，在该课题资助下取得的研究成果主要涉及五个方面：第一，研究了PE的非流动性、特质风险、股权结构对PE估值和激励机制的影响，并进一步研究了包含另类资产的（PE/VC、对冲基金）的现在投资组合和定价理论；第二，研究了中小企业的多轮投融资期权对企业估值和资本结构的影响；第三，研究了家庭的最优消费和储蓄行为，并利用效用无差别定价方法对家庭劳动收入进行公平合理定价；第四，研究了企业家的不可分割的人力资本对其公司动态财务与决策的影响；第五，基于结合了无套利利率期限结构模型的标准q理论框架，研究了随机利率和资本流动性对投资和企业价值的影响。围绕该项目，项目负责人在国际顶级金融学和经济学期刊Journal of Finance、Journal of Financial Economics和Journal of Economic Theory、以及国际一流金融学期刊Review of Corporate Finance Studies发表高质量学术论文4篇，其他项目团队成员在European Financial Management等国际知名SSCI期刊发表论文3篇。此外，研究成果还获得第十二届中国金融学年会一等奖，上海市第十三届哲学社会科学优秀成果二等奖（2016年）、AAM-CAMRI-CFA Institute Prize in Asset Management Winner（2018年）等奖项。