Replication data for: Private Equity Premium Puzzle Revisited

Name	File Type	Size	Last Modified
20110616_data_and_codes			08/02/2019 08:05:PM
LICENSE.txt	text/plain	14.6 KB	08/02/2019 04:05:PM

Project Citation:

Project Description

Summary: This paper revisits the results of Moskowitz and Vissing-Jøgensen (2002) on returns to entrepreneurial investments in the United States. Following the authors' methodology and new data from the Survey of Consumer Finances, I find that the \"private equity premium puzzle\" does not survive the period of high public equity returns in the 1990s. The difference between private and public equity returns is positive and large period-by-period between 1999 and 2007. Whereas in the 2008-2010 period, overlapping with the Great Recession, public and private equities performances are substantially closer. I validate these results in the aggregate data going back to the 1960s.

Scope of Project

JEL Classification:
      G11 Portfolio Choice • Investment Decisions
      G12 Asset Pricing • Trading Volume • Bond Interest Rates
      L26 Entrepreneurship

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Published Versions

V1 [2019-08-02]

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