We characterize the factors common between public and private equity (PE) returns as well as the factors specific to private and public returns, respectively. Using a comprehensive dataset of PE funds and recent advances... More
Nowcasting Net Asset Values: The Case of Private Equity
We apply advances in analysis of mix frequency and sparse data to estimate \unsmoothed" private equity (PE) Net Asset Values (NAVs) at the weekly frequency for individual funds. Using simulations and a large sample of buyout and venture funds, we show that our method yields superior estimates of fund asset values than a simple approach based on comparable public asset and as-reported NAVs. Our method easily accommodates additional data on PE fund portfolios, such as individual holdings, relevant mergers and acquisitions, secondary trades with fund stakes; extends to other illiquid portfolios that are subject to appraisal bias while generating irregular and infrequent cash flows. More
Forecasting Real Estate Prices
This chapter reviews the evidence of predictability in US residential and commercial real estate markets. More
