Nowcasting Net Asset Values: The Case of Private Equity

Advisor: Dr. Sara Boni 

Start: May/Mid June 2025

Background:
Valuing illiquid assets accurately is hard but necessary for many critical investment decisions made by institutional investors. Private equity (PE) investments are a prime example. Various stakeholders rely heavily on infrequently reported net asset values (NAVs) provided by fund managers. However, investors observe additional information that can be used to generate unbiased and more timely higher-frequency estimates of the true value of a fund.

Research Objective:
This thesis aims to replicate the methodology implemented by Brown, G. W., Ghysels, E., Gredil, O. R., 2023 (see below) as well as placing it in the relevant literature.

Requirements

Advanced skills in financial econometrics and in general applied econometrics, as well as in coding (with Matlab). Experience with State-Space Models is a plus. 

Literature:

• Brown, G. W., Ghysels, E., Gredil, O. R., (2023), Nowcasting Net Asset Values: The Case of Private Equity, The Review of Financial Studies, 36(3): 945–986, https://doi.org/10.1093/rfs/hhac045