Arpit Gupta

Assistant Professor, NYU Stern School of Business
Email: arpit.gupta@stern.nyu.edu

Arpit Gupta joined New York University Stern School of Business as an Assistant Professor of Finance in September 2016.

Professor Gupta’s research interests focus on using large datasets to understand default dynamics in household finance, real estate and corporate finance. Recent papers examine the role for foreclosure contagion in mortgage markets and estimate the impact of adverse health events on foreclosures and bankruptcies. He is the recipient of the 2016 Top Finance Graduate Award at Copenhagen Business School.

He received his B.S. in Mathematics and Economics at the University of Chicago and his Ph.D. in Finance and Economics from Columbia Business School.

Related Publications

Valuing Private Equity Investments Strip by Strip

We propose a new valuation method for private equity investments. It constructs a replicating portfolio using cash-flows on various listed equity and fixed income instruments (strips). It then values the listed strips using an asset pricing model that accurately captures the risk in the cross-section of bonds and equity factors.
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Valuing Private Equity Investments Strip by Strip

We propose a new valuation method for private equity investments. First, we construct a cash-flow replicating portfolio for the private investment, using cash-flows on various listed equity and fixed income instruments. The second step values the replicating portfolio using a flexible asset pricing model that accurately prices the systematic risk in listed equity and fixed income instruments of different horizons. The method delivers a measure of the risk-adjusted profit earned on a PE investment, a time series for the expected return on PE fund categories, and a time series for the residual net asset value in a fund. We apply the method to real estate, infrastructure, buyout, and venture capital funds, and find modestly positive average risk-adjusted profits with substantial cross-sectional variation, and declining expected returns in the later part of the sample.
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