Journal of Finance Vol. 73 No. 4 2018

Estimating Private Equity Returns from Limited Partner Cash Flows

Andrew Ang^{1,2,3,4,5,6,7}; BINGXU CHEN^{1,2,3,4,5,6,7}; William N. Goetzmann^{1,2,3,4,5,6,7}; Ludovic Phalippou^{1,2,3,4,5,6,7}

¹ University of Notre Dame · ² Princeton University · ³ Université Notre Dame d'Haïti · ⁴ Yale University · ⁵ University of Oxford · ⁶ London Business School · ⁷ World Economic Forum

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.

DOI

10.1111/jofi.12688

Volume

73

Issue

4

Pages

1751-1783

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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