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- Title
Public and Private Equity Returns: Different or Same?
- Authors
Rudin, Alexander; Farley, Daniel
- Abstract
In this article, the authors propose a novel, Shiller-inspired, regression-style model that links observed private and public equity returns. The model illuminates why, over the short term, private returns are superior to public ones, whereas over the long term, public and private returns are largely interchangeable after proper adjustments are made, resolving a long-standing conundrum. Results are interpreted qualitatively and further supported by the analysis of volatility and correlation term structures for both private and public equity assets. Finally, the authors make suggestions on how to incorporate findings into comparative analysis of private equity funds and, more generally, into multi-asset portfolio constructions.
- Publication
Journal of Portfolio Management, 2022, Vol 48, Issue 3, p117
- ISSN
0095-4918
- Publication type
Academic Journal
- DOI
10.3905/jpm.2021.1.323