The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?
发现美国非公开交易股权的回报率并不高于公开股权，尽管创业投资高度集中且缺乏多样化，这挑战了传统风险回报权衡理论，并讨论了非金钱收益、偏好偏度或高估生存概率等可能解释。
We document the return to investing in U.S. nonpublicly traded equity. Entrepreneurial investment is extremely concentrated, yet despite its poor diversification, we find that the returns to private equity are no higher than the returns to public equity. Given the large public equity premium, it is puzzling why households willingly invest substantial amounts in a single privately held firm with a seemingly far worse risk-return trade-off. We briefly discuss how large nonpecuniary benefits, a preference for skewness, or overestimates of the probability of survival could potentially explain investment in private equity despite these findings.