Public and Private Equity Returns: Different or Same?
提出一个受席勒启发的回归模型，解释为何短期私募回报优于公开、长期则趋同，并分析波动与相关期限结构，对私募基金比较和多资产组合构建有参考价值。
In this article, the authors propose a novel, Shiller-inspired, regression-style model that links observed private and public equity returns. The model illuminates why, over the short term, private returns are superior to public ones, whereas over the long term, public and private returns are largely interchangeable after proper adjustments are made, resolving a long-standing conundrum. Results are interpreted qualitatively and further supported by the analysis of volatility and correlation term structures for both private and public equity assets. Finally, the authors make suggestions on how to incorporate findings into comparative analysis of private equity funds and, more generally, into multi-asset portfolio constructions.