"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...

For years, research has been conducted to correctly model and predict the risk and return structures of Private Equity (PE) funds. Although past research has revealed valuable insight into the features of those funds, most risk and return model struggle with the dispersion of PE funds' returns,...

This chapter is both a primer on estimation methods for assessing risk and return in private equity and a survey of the empirical literature. Most private equity investments are made by private funds that raise capital from institutions and wealthy individuals. Performance data is collected...

We review the literature on the risks and returns of private equity funds, comparing the different datasets used in academic research. Irrespective of the datasets used, average returns seem to be lower than public equity returns and, in any event, less spectacular than often conjectured. Buyout...

Private equity fund managers are typically required to invest their own money alongside the fund. We examine how this coinvestment affects the acquisition strategy of leveraged buyout funds. In a simple model, where the investment and capital structure decisions are made simultaneously, we show...