绘制新兴市场私募股权投资回报图（英）

11025 Mapping Returns of Private EquityInvestments in Emerging Markets Florian MöldersEdgar Salgado Policy Research Working Paper11025 Abstract This paper fills a gap in research on private equity invest-ments in emerging markets and developing economies. Itprovides descriptive evidence and examines the distributionof returns across sectors such as finance, technology, andresource-intensive industries like mining, where significantvariation exists. Using data from the International FinanceCorporation, the analysis finds that return distributionsexhibit “fat tails”, with a notable presence of investments yielding extremely high returns alongside others gener-ating little or no return, highlighting the importance ofdiversification. The analysis reveals that firm-specific fac-tors account for the largest share of return variability, withcountry and sector factors playing a smaller role. Grossdomestic product growth and real exchange depreciationare significantly related to returns, with median elasticitiesof 0.35 and −0.67, respectively. This paper is a product of the International Finance Corporation. It is part of a larger effort by the World Bank Group toprovide open access to its research and make a contribution to development policy discussions around the world. PolicyResearch Working Papers are also posted on the Web at http://www.worldbank.org/prwp. The authors may be contactedat fmoelders@ifc.org. The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about developmentissues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry thenames of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely thoseof the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank andits affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent. Mapping Returns of Private Equity Investments inEmerging Markets* Florian M ¨olders†Edgar Salgado‡ JEL Classification: F21, G24, G32, O16Keywords: equity markets, private equity, private sector development, venture capital 1Introduction Emerging markets and developing economies (EMDEs) increasingly attract interest from privateequity investors seeking high returns. However, data on returns to these investments remain un-derexplored, especially sector-specific performance, owing to data limitations. Using data fromthe International Finance Corporation (IFC) over the past 60 years, our paper is the first to presentsectoral equity returns across EMDEs, including finance, technology, and resource-intensive in-dustries such as mining. Although previous research on EMDEs has predominantly focused onoverall private equity performance, this study explores sectoral returns and examines key macroe-conomic drivers, such as economic growth and the real exchange rate. Since Kaplan and Schoar (2005), the private equity returns literature has commonly used theS&P 500 index as a benchmark against public markets, using metrics like the Public Market Equiv-alent (PME), for evaluating private equity performance. Building on Cole et al. (2024), this paperexpands on that framework by exploring how private equity returns in EMDEs compare to pub-lic market indices. In this study, we apply the PME to compare performance against the MSCIEmerging Markets Index, which permits a comparison of returns on private equities versus pub-licly listed companies in the same country.1 Our exploration of returns across different sectors finds that some industries, such as tech-nology and finance, exhibited particularly strong performance during the sample period. Theseresults add depth to our understanding of sectoral dynamics within EMDEs by providing a moregranular view of private equity returns in these markets. Enhancing the transparency of privateequity data in EMDEs also offers investors and policy makers a clearer understanding of equityreturns across different sectors within these economies. We also examine the relative importance of firm-specific, sector, and country factors. Firm-specific factors account for the largest share of variation of returns, far surpassing the influencesof country and sectoral aspects. Indeed, the role of idiosyncratic firm factors is greater than instudies for publicly listed equities. Using data from 12 European countries, Heston and Rouwen-horst (1994) find that country and industry characteristics explain 24% and 5%, respectively, of thevariance of returns.2Norges Bank (2019) built on the return decomposition framework by Hestonand Rouwenhorst (1994) using an international dataset of firm-level public equity returns fromdeveloped and emerging markets, finding that country and industry factors explain about 30% ofreturn var