Nowcasting Net Asset Values: The Case of Private Equity

Review of Financial Studies, Forthcoming

82 Pages Posted: 14 Jan 2020 Last revised: 22 Jul 2022

See all articles by Gregory W. Brown

Gregory W. Brown

University of North Carolina (UNC) at Chapel Hill - Finance Area

Eric Ghysels

University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

Oleg Gredil

Tulane University - A.B. Freeman School of Business

Date Written: April 16, 2022

Abstract

We estimate unsmoothed private equity Net Asset Values (NAVs) at the 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.

Keywords: Private Equity, Venture Capital, Leveraged Buyouts, Institutional Investors, State Space Models, Nowcasting, Risk Management

JEL Classification: C3, C4, G11, G17, G23, G24, G30

Suggested Citation

Brown, Gregory W. and Ghysels, Eric and Gredil, Oleg, Nowcasting Net Asset Values: The Case of Private Equity (April 16, 2022). Review of Financial Studies, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3507873 or http://dx.doi.org/10.2139/ssrn.3507873

Gregory W. Brown

University of North Carolina (UNC) at Chapel Hill - Finance Area ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

Eric Ghysels

University of North Carolina Kenan-Flagler Business School ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)

HOME PAGE: http://https://eghysels.web.unc.edu/

Oleg Gredil (Contact Author)

Tulane University - A.B. Freeman School of Business ( email )

7 McAlister Drive
New Orleans, LA 70118
United States

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