Authors document the return to investing in U.S. nonpublicly traded equity. Entrepre
neurial investment is extremely concentrated,yet despite its poor diversi cation,
wend that the returns to private equity are no higher than the returns to publicequity.
Given the large public equity premium, it is puzzling why households wilingly
invest substantialamounts in a single privately held firm with a seemingly far worse
risk-return trade-of. Authors briefly discuss how large nonpecuniary benefits, a
for skewness, or overestimates of the probability of survival could potentialy explain
investment in private equity despite these findings.