The Return to Direct Investment in Private Firms: New Evidence on the Private Equity Premium Puzzle*
利用养老金基金直接投资私人企业的数据，发现其年化回报率比公开股票低392个基点，且初始错误定价和后续低资本收益是主要原因，为私募股权溢价谜题提供了新解释。
Abstract This paper uses a novel dataset to analyze the return to direct investments in private firms by pension funds. We have two key findings. First, direct investments in private firms have underperformed public equity by 392 basis points per annum under conservative risk adjustments. Second, initial mispricing, due to over‐optimism or misperceived risk, and subsequent low capital gains seem to explain the gap in returns to private firms. Overall, these findings complement the finding of Moskowitz and Vissing‐Jørgensen (2002) of low returns on entrepreneurial investments and provide new insight into the existence of what they call the private equity premium puzzle: Even professional investors with well‐diversified portfolios like pension funds seem to get a poor risk‐return tradeoff from investing directly in private firms.