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Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market

Matthias Fleckenstein and Francis Longstaff

No 28134, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We present a new approach for estimating private equity returns using secondary market prices for entrepreneurial business credit card securitizations. We show that the market requires a significantly higher premium for entrepreneurial credit risk than for household credit risk. Entrepreneurial risk is systematic in nature and has much in common with risks in corporate bond and real-estate-backed lending markets. The expected return on private equity is on the order of 14 percent and the volatility of private equity returns is comparable to that of the smallest quintile of publicly traded firms.

JEL-codes: G12 G5 (search for similar items in EconPapers)
Date: 2020-11
New Economics Papers: this item is included in nep-fmk and nep-pay
Note: AP
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Handle: RePEc:nbr:nberwo:28134