Driessen, Joost; Lin, Tse-Chun; Phalippou, Ludovic - National Bureau of Economic Research (NBER) - 2008
We develop a new GMM-style methodology with good small-sample properties to assess the abnormal performance and risk exposure of a non-traded asset from a cross-section of cash flow data. We apply this method to a sample of 958 mature private equity funds spanning 24 years. Our methodology uses...