Measuring Institutional Investors’ Skill at Making Private Equity Investments
利用1991-2011年机构投资者在私募股权基金中的投资数据，估计投资者技能对回报的影响，发现技能提升一个标准差可使年回报率提高1-2个百分点。
ABSTRACT Using a large sample of institutional investors’ investments in private equity funds raised between 1991 and 2011, we estimate the extent to which investors’ skill affects their returns. Bootstrap analyses show that the variance of actual performance is higher than would be expected by chance, suggesting that some investors consistently outperform. Extending the Bayesian approach of Korteweg and Sorensen, we estimate that a one‐standard‐deviation increase in skill leads to an increase in annual returns of between one and two percentage points. These results are stronger in the earlier part of the sample period and for venture funds.