Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting
研究发现私募股权基金通过选择具有价值特征的小公司并加杠杆，其业绩优于直接私募投资，且可用公开股票和经纪贷款复制其策略。
Abstract The contributions of asset selection and incremental leverage to buyout investment performance are more important than typically assumed or estimated to be. Buyout funds select small firms with distinct value characteristics. Public equities with these characteristics have high risk-adjusted returns relative to common factors. Adding incremental leverage to a publicly traded stock portfolio increases both risks and mean returns in this sample. Direct investments in private equity funds earn lower mean returns than a replicating strategy designed to mimic these key economic features of their investment process with public equities and brokerage loans.