A number of scholars of private equity (“PE”) have sought to assess the performance of PE firms by adopting an ex-post perspective of asset pricing. In doing so a set of phenomena has been recognized that is thought to be specific to the PE sector. However, by continuing to draw on an...

In the last two decades, a number of private equity scholars have attempted to assess the ex-post returns (performance) of private equity funds (PEs). Such studies have produced both contradictory conclusions that have included a wide spread of abnormal realized returns ranging from -6%...

This paper proposes a theory of the equilibrium liquidity premia of private equity funds and explores its asset-pricing implications. The theory is based on the notion that investors are exposed to the risk of facing surprise liquidity shocks, which upon arrival force them to liquidate their...

Private equity has traditionally been thought to provide diversi cation bene ts. However, these benefi ts may be lower than anticipated. We find that private equity suffers from signifi cant exposure to the same liquidity risk factor as public equity and other alternative asset classes. The...