TY  - JOUR
AU  - Moskowitz,Tobias J.
AU  - Vissing-Jorgensen,Annette
TI  - The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8876
PY  - 2002
Y2  - April 2002
UR  - http://www.nber.org/papers/w8876
L1  - http://www.nber.org/papers/w8876.pdf
N1  - Author contact info:
Tobias J. Moskowitz
Booth School of Business
University of Chicago
5807 S. Woodlawn Ave.
Chicago, IL  60637
Tel: 773/834-2757
Fax: 773/702-0458
E-Mail: tobias.moskowitz@chicagobooth.edu

Annette Vissing-Jorgensen
Finance Department
Kellogg School of Management
Northwestern University
2001 Sheridan Road
Evanston, IL  60208-2001
Tel: 847/467-6171
Fax: 847/491-5719
E-Mail: a-vissing@northwestern.edu
AB  - We document the return to investing in U.S. nonpublicly traded equity.  Entrepreneurial investment is extremely concentrated, yet despite its poor diversification, we find that the returns to private equity are no higher than the returns to public equity. Given the large public equity premium, it is puzzling why households willingly invest substantial amounts in a single privately held firm with a seemingly far worse risk-return tradeoff.  We briefly discuss how large nonpecuniary benefits, a preference for skewness, or overestimates of the probability of survival could potentially explain investment in private equity despite these findings.
ER  -