Systematic Risk in Publicly Listed Private Equity: An empirical study using time-varying beta models
This thesis investigates the dynamics of systematic risk in publicly listed private equity(PLPE) firms, a hybrid asset class that combines private capital exposure with public market liquidity. Using daily data from 2015 to 2024 and a score-driven modeling framework, we show that beta is highly time-varying and firm-specific, particularly during macroeconomic shocks such as the COVID-19 crisis and
