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http://ssrn.com/abstract=2356553
 
 

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Estimating Private Equity Returns from Limited Partner Cash Flows


Andrew Ang


Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Bingxu Chen


Columbia Business School - Finance and Economics

William N. Goetzmann


Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Ludovic Phalippou


University of Oxford - Said Business School; University of Oxford - Oxford-Man Institute of Quantitative Finance

June 11, 2014

Columbia Business School Research Paper No. 13-83

Abstract:     
We introduce a methodology to estimate the historical time series of returns to investment in private equity. 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 into a component due to traded factors and a time-varying private equity premium. We find strong cyclicality in the premium component that differs according to fund type. The time-series estimates allow us to directly test theories about private equity cyclicality, and we find evidence in favor of the Kaplan and Strömberg (2009) hypothesis that capital market segmentation helps to determine the private equity premium.

Number of Pages in PDF File: 64

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Date posted: November 18, 2013 ; Last revised: June 22, 2014

Suggested Citation

Ang, Andrew and Chen, Bingxu and Goetzmann, William N. and Phalippou, Ludovic, Estimating Private Equity Returns from Limited Partner Cash Flows (June 11, 2014). Columbia Business School Research Paper No. 13-83. Available at SSRN: http://ssrn.com/abstract=2356553 or http://dx.doi.org/10.2139/ssrn.2356553

Contact Information

Andrew Ang
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Bingxu Chen
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States
William N. Goetzmann
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Ludovic Phalippou (Contact Author)
University of Oxford - Said Business School ( email )
Park End Street
Oxford, OX1 1HP
Great Britain
University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )
Eagle House
Walton Well Road
Oxford, Oxfordshire OX2 6ED
United Kingdom
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