The public market equivalent and private equity performance

The authors show that the public market equivalent approach is equivalent to assessing the performance of private equity (PE) investments using Rubinstein’s dynamic version of the CAPM. They developed two insights: (1) one need not compute betas of PE investments, and any changes in PE cash flow betas due to changes in financial leverage, operating leverage, or the nature of the business are automatically taken into account; (2) the public market index used in evaluations should be the one that best approximates the wealth portfolio of the investor considering the PE investment opportunity.

Netspar, Network for Studies on Pensions, Aging and Retirement, is a thinktank and knowledge network. Netspar is dedicated to promoting a wider understanding of the economic and social implications of pensions, aging and retirement in the Netherlands and Europe.

MORE ABOUT NETSPAR


Mission en strategy           •           Network           •           Organisation           •          Magazine
Board Brief            •            Actionplan 2023-2027           •           Researchagenda

ABOUT NETSPAR

Our partners

B20220412_SPIN_logo+naam_2xPMS_2_voettekst
B20160708_universiteit leiden
B20160708_asr
BPL_Pensioen_logo+pay-off - 1610-1225 v1.1_grijswaarden
B20221103_Zwitserlevengrayscale
View all partners