Nowcasting Net Asset Values: The Case of Private Equity
提出一种每周频率估算私募股权基金平滑净资产价值的方法，通过模拟和大量样本证明其优于简单外推法，并揭示基金风险回报特征及经理人差异。
Abstract We estimate unsmoothed private equity net asset values (NAVs) at weekly frequency for individual funds. Using simulations and large samples of buyout and venture funds, we show that our method yields superior estimates of NAVs relative to simple approaches based on extrapolation of reported NAVs. The market beta of an average buyout (venture) fund is around 1.0 (1.4), and the total risk is 33$\%$ (40$\%$) per year. The risk-return profile of the funds varies significantly over time and across funds. Risk-taking and reporting quality appear to persist by manager. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.