Journal article
Estimating private equity returns from limited partner cash flows
- Abstract:
- We introduce a methodology to estimate the historical time series of returns to investment in private equity funds. The approach requires only an unbalanced panel of cash contributions and distributions accruing to limited partners and is robust to sparse data. We decompose private equity returns from 1994 to 2015 into a component due to traded factors and a time‐varying private equity premium not spanned by publicly traded factors. We find cyclicality in private equity returns that differs according to fund type and is consistent with the conjecture that capital market segmentation contributes to private equity returns.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
-
(Preview, Accepted manuscript, pdf, 549.2KB, Terms of use)
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- Publisher copy:
- 10.1111/jofi.12688
Authors
- Publisher:
- Wiley
- Journal:
- Journal of Finance More from this journal
- Volume:
- 73
- Issue:
- 4
- Pages:
- 1751-1783
- Publication date:
- 2018-05-10
- Acceptance date:
- 2017-04-17
- DOI:
- EISSN:
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1540-6261
- ISSN:
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0022-1082
- Language:
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English
- Pubs id:
-
pubs:707593
- UUID:
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uuid:9f816ca8-00f4-49e6-9622-5a2d7403b10a
- Local pid:
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pubs:707593
- Source identifiers:
-
707593
- Deposit date:
-
2017-07-10
Terms of use
- Copyright holder:
- American Finance Association
- Copyright date:
- 2018
- Rights statement:
- © 2018 the American Finance Association
- Notes:
- This is the accepted manuscript version of the article. The final version is available online from Wiley at https://doi.org/10.1111/jofi.12688
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