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Nowcasting Net Asset Values: The Case of Private Equity

Author

Listed:
  • Gregory W
  • Eric Ghysels
  • Oleg R Gredil
  • Stijn Van

Abstract

We estimate unsmoothed private equity net asset values (NAVs) at weekly frequency for individual funds. Using simulations and large samples of buyout and venture funds, we show that our method yields superior estimates of NAVs relative to simple approaches based on extrapolation of reported NAVs. The market beta of an average buyout (venture) fund is around 1.0 (1.4), and the total risk is 33 (40) per year. The risk-return profile of the funds varies significantly over time and across funds. Risk-taking and reporting quality appear to persist by manager.Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Suggested Citation

  • Gregory W & Eric Ghysels & Oleg R Gredil & Stijn Van, 2023. "Nowcasting Net Asset Values: The Case of Private Equity," The Review of Financial Studies, Society for Financial Studies, vol. 36(3), pages 945-986.
    • Handle: RePEc:oup:rfinst:v:36:y:2023:i:3:p:945-986.
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    File URL: http://hdl.handle.net/10.1093/rfs/hhac045
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    More about this item

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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