Systematic Risk in Publicly Listed Private Equity: An Empirical Study Using Score-Driven Beta Models
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August Jörding
Abstract
We investigate systematic risk dynamics using the LPX Group’s 10 indices, which represent publicly listed private equity (PLPE) market indices as well as different PLPE investment styles and PLPE performance at alternative geographic regions. PLPE is a hybrid asset class that combines private capital exposure with public market liquidity. Using daily data from 2002 to 2025 and a recent score-driven modeling framework, i.e. the autoregressive conditional beta (ACB) model for the t-distribution (t-ACB), we demonstrate that the betas and volatility are highly time-varying and LPX-specific, particularly during periods of macroeconomic or financial crisis. Contrary to classical theory, LPX betas do not converge in crises, revealing persistent heterogeneity across PLPE firms. These findings challenge the assumptions underlying static asset pricing models and conventional methods for estimating the cost of equity. By capturing how systematic risk evolves across indices and regimes, this paper extends the literature by offering a more accurate framework for valuing hybrid assets and managing risk in an increasingly institutionalized segment of the private equity market.
Acknowledgments
We greatly appreciate the LPX Group’s help in providing the LPX index data. Computer codes are available from the authors upon request.
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Author contributions: All the authors have accepted responsibility for the entire content of this submitted manuscript and approved submission.
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Conflict of interest: The authors declare no conflicts of interest regarding this article.
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Research funding: This research did not receive funding.
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