In this paper we investigate the risk return relationship of Private Equity (PE) relative to Public Market Equity (PM) investments to assess the adequateness of PEs return premium. We analyze cash flows of PE projects gross of fees and any other externalities. Our analysis is based on simulated...

In this paper we show how cross-sectional correlations between Private Equity (PE) and Public Market Equity (PM) returns can be approximated, resolving the lack of time series PE data. Based on a sample comprising 2,380 realized PE projects, we observe low crosssectional correlations between PE...