Private Equity Premium Puzzle Revisited
重新检验了美国企业家投资回报的私人股权溢价之谜，发现该谜题在1990年代高公共股权回报期后不再成立，1999至2007年间私人股权回报持续高于公共股权，而2008至2010年大衰退期间两者差距缩小。
This paper revisits the results of Moskowitz and Vissing-Jørgensen (2002) on returns to entrepreneurial investments in the United States. Following the authors' methodology and new data from the Survey of Consumer Finances, I find that the “private equity premium puzzle” does not survive the period of high public equity returns in the 1990s. The difference between private and public equity returns is positive and large period-by-period between 1999 and 2007. Whereas in the 2008–2010 period, overlapping with the Great Recession, public and private equities performances are substantially closer. I validate these results in the aggregate data going back to the 1960s.