경영참여형 사모펀드(PEF)의 가치평가모형과 투자성과 평가기법에 관한 연구

[Purpose]Private Equity Funds(PEFs) are subject to legal restrictions on the financing of investment funds and have a finite investment period. In assessing PEF’s investment performance, assuming that the PEF’s fund life will continue indefinitely for the amount of tax savings enjoyed by the PEF, there is a risk of overestimating the business value of the investment. [Methodology]I develop new valuation models to address the finite time－horizon and limited recourse conditions of PEFs. And I also apply the models to PEFs as new performance evaluation techniques of NPV and IRR. [Findings]I derive the after－tax weighted average cost of capital(Ko) and equity capital cost(Ke) model of SPC as the time－varying cost of capital. And APV(Ku), FCF(Ko) and CFE(Ke) models, as the valuation model of SPC investment, are derived and applied to NPV method. I also introduce the IRR method that applies Ku as an investment cut－off rate to PEF SPC investment performance evaluation.I develop investment performance evaluation methods to be applied to the PEF LP(limited partner) investor in the step of recovering the stake of SPC. The profitability index(PEF PI) is introduced as the present value multiple of the investment value of PEF LP obtained by recovering the stake of the target company invested by SPC on the capital call of the PEF. I also introduced IRR technique, which applies Ku as an investment cutoff rate to evaluate the investment performance of PEF LP. [Implications]This study found that the traditional performance evaluation techniques such as NPV and IRR methods should be modified when applied to the evaluation of PEF. I develop a proper valuation models which can be used as a basis for the applied techniques.