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Aleksandr Ermakov

Aleksandr  Ermakov
Postal Address Université du Luxembourg
2, Avenue de l'Université
L-4365 Esch-sur-Alzette

Personal websitehttps://sites.google.com/view/aleksandr-ermakov/


Primary Research Interests: Asset Pricing and Private Equity.


AdvisorsRoberto Steri and Benjamin Holcblat


Job market paper:  


   Title:          Believe it or Not: The Role of Investor Beliefs for Private Equity Valuation


    Abstract:  I show that investors’ beliefs play an important role in the valuation of private equity

                      (PE) funds. According to finance principles, the value of PE equals the expected cash flows

                      discounted for time and risk. Thus, pricing errors can originate from an incorrect stochastic

                      discount factor (SDF) or from a discrepancy between investors’ beliefs and the true probability

                      distribution of cash flows. I propose an estimation method to back out investors’ beliefs from

                       funds’ cash flows. I validate recovered beliefs using investors’ sentiment surveys. I find that

                       investors’ over optimism about the public market and pessimism about the PE industry, rather

                       than SDF misspecification, offers a potential explanation for the outperformance of PE funds

Last updated on: Friday, 22 July 2022