A Theory of Liquidity in Private Equity
构建了一个模型，捕捉私募股权市场的基金结构和非流动性两大特征，分析有限合伙人的流动性容忍度对基金回报的影响，并解释一级和二级市场的实证发现。
We develop a model of private equity capturing two fundamental features of this market: the fund structure and illiquidity. A fund structure with sequential capital calls arises as an optimal solution to fund managers’ (GPs) moral hazard problem but exposes investors (LPs) to illiquidity risk. Funds with more illiquidity-tolerant LPs realize higher returns, leading to different expected returns across both funds and LPs in equilibrium. GPs may inefficiently accelerate drawdowns to avoid default by LPs on capital commitments. With a secondary market for LP claims, differences in fund returns are attenuated but differences in LP returns remain. The model can rationalize several empirical findings on primary and secondary private equity markets. This paper was accepted by Bruno Biais, finance. Funding: V. Maurin thanks the Swedish House of Finance for financial support. P. Strömberg thanks the NASDAQ Nordic Foundation, Söderberg Professorship in Economics, and Swedish House of Finance for financial support. D. Robinson thanks the Bertil Danielsson Professorship and Erling Persson Professorship for financial support. Supplemental Material: The online appendices are available at https://doi.org/10.1287/mnsc.2022.4612 .