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1、DoPrivateEquityFundsGameReturns?IGregoryW.Brown∗,OlegR.Gredil∗,StevenN.Kaplan∗∗AbstractBytheirnature,privateequityfundsholdassetsthatarehardtovalue.Thisuncertaintyinassetvaluationgivesrisetothepotentialforfundmanagerstomanipulatereportednetassetvalues(NAVs).Managersmayhaveanincenti
2、vetogamevaluationsintheshort-runiftheseareusedbyinvestorstomakedecisionsaboutcommitmentstosubsequentfundsmanagedbythesamefirm.Usingalargedatasetofbuyoutandventurefunds,wetestforthepresenceofreportedNAVmanipulation.WefindevidencethatsomemanagersboostreportedNAVsduringtimesthatfundrais
3、ingactivityislikelytooccur.Thosemanagers,however,aresubsequentlyunabletoraiseanextfund,suggestingthatinvestorsseethroughthemanipulation.Incontrast,wefindthattop-performingfundsunder-reportreturns.Thisconservatismisconsistentwiththesefirmsinsuringagainstfuturebadluckthatcouldmakethema
4、ppearasthoughtheyareNAVmanipulators.Ourresultsarerobusttoavarietyofspecificationsandalternativeexplanations.Keywords:PrivateEquity,VentureCapital,MutualFunds,InstitutionalInvestorsJELClassification:G23,G24,G30IFirstversion:May28,2013;Thisversion:October23,2013∗UniversityofNorthCaroli
5、naatChapelHill,Kenan-FlaglerBusinessSchool,gregwbrown@unc.edu,(919)962-9250andOlegGredil@kenan-flagler.unc.edu∗∗UniversityofChicago,BoothSchoolofBusiness.skaplan@uchicago.edu,(773)702.4513andNBERHelpfulcommentsandsuggestionsprovidedbyJamesBachman,DiegoGarcia,BobHarris,JamesKocis,Lud
6、ovicPhalippouandseminarparticipantsatthe2012GlobalPrivateInvestingConferenceandthe2013MeetingsoftheEuropeanFinanceAssocia-tion.WethankBurgissandespeciallyBrandonRenkartandWendyHuforprovidingresearchsupport.ThisresearchhasbenefitedfromthesupportofthePrivateEquityResearchConsortium(PE
7、RC)andtheUAIFoundation.Kaplanhasconsultedtobuyoutandventurefundgeneralpartnersandlimitedpartners.DoPrivateEquityFundsGameReturns?AbstractBytheirnature,privateequityfundsholdassetsthatarehardtovalue.Thisuncertaintyinassetvaluationgivesrisetothepotentialforfundmanagerstomanipulaterep
8、ortednetassetvalues(NAVs).
