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Occupational Choice and the Private Equity Premium Puzzle
Social Science Research Network
This paper suggests a solution to what has become known as the "private equity premium puzzle". Moskowitz and Vissing-Jorgensen (2002, AER, forthcoming) have documented the risk-return structure and the portfolio allocation of private equity in the US. They find that average private equity ex-post returns are comparable to average ex-post returns on public equity, but also that the distribution of individual returns is very wide and skewed to the left. At the same time, investment in privatedoi:10.2139/ssrn.423446 fatcat:7fxz5wfe4je2lnstykaxsoinpm