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Review of Financial Studies Vol. 36 No. 3 2023

Nowcasting Net Asset Values: The Case of Private Equity

Gregory W. Brown1; Eric Ghysels2; Oleg Gredil3

1 Kenan-Flagler Business School and Frank Hawkins Kenan Institute of Private Enterprise University of North Carolina at Chapel Hill, , USA · 2 Department of Economics, Frank Hawkins Kenan Institute of Private Enterprise, USA University of North Carolina at Chapel Hill, Kenan-Flagler Business School, , and Centre for Economic Policy Research (CEPR), UK · 3 University, A. B. Freeman School of Business Tulane , USA

Abstract

We estimate unsmoothed private equity net asset values (NAVs) at weekly frequency for individual funds. Using simulations and large samples of buyout and venture funds, we show that our method yields superior estimates of NAVs relative to simple approaches based on extrapolation of reported NAVs. The market beta of an average buyout (venture) fund is around 1.0 (1.4), and the total risk is 33% (40%) per year. The risk-return profile of the funds varies significantly over time and across funds. Risk-taking and reporting quality appear to persist by manager.

DOI
10.1093/rfs/hhac045
Volume
36
Issue
3
Pages
945-986
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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