Can Investors Time Their Exposure to Private Equity?

Gregory Brown, Robert S. Harris, Wendy Hu, Tim Jenkinson, Steven Kaplan () and David Robinson

No 26755, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: G23 G24 (search for similar items in EconPapers)
Date: 2020-02
New Economics Papers: this item is included in nep-fmk
Note: CF
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Citations: View citations in EconPapers (1)

Published as Gregory Brown & Robert Harris & Wendy Hu & Tim Jenkinson & Steve Kaplan & David T. Robinson, 2020. "Can investors time their exposure to private equity?∗," Journal of Financial Economics, .

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