Can investors time their exposure to private equity?

• 成果类型: Article
• 署名作者: Brown, Gregory; Harris, Robert; Hu, Wendy; Jenkinson, Tim; Kaplan, Steven N.; Robinson, David T.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of Virginia; University of Oxford; University of Chicago; National Bureau of Economic Research; Duke University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.08.014
• 发表日期: 2021
• 页码: 561-577
• 关键词: private equity; buyouts; venture capital; Market timing

摘要

Private equity performance, both for buyouts and venture capital, has been highly cyclical: periods of high fundraising have been followed by periods of low performance. Despite this seemingly predictable variation, we find modest gains, at best, to pursuing realistic, investable strategies that time capital commitments to private equity. This occurs, in part, because investors can only time their commitments to funds; they cannot time when commitments are called or when investments are exited. There is a high degree of time-series correlation in net cash flows even across commitment strategies that allocate capital in a very different manner over time. (C) 2020 Elsevier B.V. All rights reserved.