Valuing Private Equity Investments Strip by Strip
提出一种利用上市股票和固定收益工具现金流构建复制组合的私募股权估值方法，发现平均私募基金的风险调整利润为负，且预期回报和风险调整利润在样本后期下降。
ABSTRACT We propose a new valuation method for private equity (PE) investments. It constructs a replicating portfolio using cash flows on listed equity and fixed‐income instruments (strips). It then values the strips using an asset pricing model that captures the risk in the cross‐section of bonds and equity factors. The method delivers a risk‐adjusted profit on each PE investment and a time series for the expected return on each fund category. We find negative risk‐adjusted profits for the average PE fund, with substantial heterogeneity and some persistence in the performance. Expected returns and risk‐adjusted profit decline in the later part of the sample.