Can investors time their exposure to private equity?

Gregory W. Brown; Robert Harris; Wendy Hu; Tim Jenkinson; Steven N. Kaplan; David T. Robinson

doi:10.1016/j.jfineco.2020.08.014

Journal of Financial Economics Vol. 139 No. 2 2021

Can investors time their exposure to private equity?

Gregory W. Brown^1,2; Robert Harris³; Wendy Hu⁴; Tim Jenkinson⁵; Steven N. Kaplan⁶; David T. Robinson⁷

¹ Flagler College · ² University of North Carolina at Chapel Hill · ³ University of Virginia · ⁴ Burgiss, United States · ⁵ University of Oxford · ⁶ Booth School of Business, University Chicago and NBER, United States · ⁷ Duke University

open access

Abstract

Private equity performance, both for buyouts and venture capital, has been highly cyclical: periods of high fundraising have been followed by periods of low performance. Despite this seemingly predictable variation, we find modest gains, at best, to pursuing realistic, investable strategies that time capital commitments to private equity. This occurs, in part, because investors can only time their commitments to funds; they cannot time when commitments are called or when investments are exited. There is a high degree of time-series correlation in net cash flows even across commitment strategies that allocate capital in a very different manner over time.

DOI: 10.1016/j.jfineco.2020.08.014
Volume: 139
Issue: 2
Pages: 561-577
Language: en
Sources: bibtex:phds-export.bib openalex crossref

Can investors time their exposure to private equity?

Abstract

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