there is of course the possibility that the societal turbulence and friction
caused by these buy-outs exceeds investors' monetary gains. if you don't
consider such factors as this your analysis will be incomplete.
Edzo Wisman wrote:
> L.S.:
>
> I have the following problem:
>
> My data are the returns on a quarterly basis of leveraged buyout funds in
> the USA from 1989 to 1999 (40 quarters). I have bought this data in two
> groups with in one group funds smaller (in terms of capital under
> management) then a certain size; in the other funds larger then that certain
> size. This way I can test whether the returns of the smaller funds behave
> differently from those of the larger funds.
>
> My hypothesis is that the smaller funds have higher returns. Not just that,
> even better for their investors, they also have a lower risk level (standard
> deviation of returns).
>
> There are way more smaller buyout firms then there are large ones. The
> returns of the smaller funds are the combined results of about 150 firms
> (from 80 in 1989 to 225 in 1999); the results of the large buyout firms are
> the combined results of 8 in 1989 to 63 in 1999. Since I only have the
> returns of the combined funds as observations I do only have N=40. One can
> imagine that the standard deviation of returns is a lot lower for the
> smaller funds this way in the first place because it is comprised of less
> funds in the first place... [Standard deviaton is about 4 vs. 8] .
>
> How can I approach this problem: correcting for the larger number the
> data is comprised of for smaller funds (or: correcting for the smaller
> numbers the data is comprised of for the larger funds) if I want to test for
> return level & standard deviation?
>
> Help greatly appreciated!!
>
> Edzo Wisman
>
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--
Any resemblance of any of the above opinions to anybody's official position is
completely coincidental.
Muriel Strand, P.E.
Air Resources Engineer
CA Air Resources Board
2020 L Street
Sacramento, CA 59814
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916-327-8524 (fax)
www.arb.ca.gov
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This list is open to everyone. Occasionally, less thoughtful
people send inappropriate messages. Please DO NOT COMPLAIN TO
THE POSTMASTER about these messages because the postmaster has no
way of controlling them, and excessive complaints will result in
termination of the list.
For information about this list, including information about the
problem of inappropriate messages and information about how to
unsubscribe, please see the web page at
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