Traditional asset pricing models (such as the CAPM or the APT) are based on the assumption, that investors perfectly diversify their portfolios and are therefore able to diversify firm-specific risk – they hold the market portfolio or factor portfolios. The underlying assumption is that investors do not have specific information about firms and shares, and therefore agree in the way how to diversify risks. However, to the extent that the assumption of homogeneous expectations is violated, individuals differ in their portfolio holdings, specifically, they imperfectly their diversify portfolios (compared to the former case). As a consequence, specific risk may be priced in addition to the traditional systematic risk factors. Private equity investments represent an asset class, where limited information and imperfectly diversified portfolios play an important role, and the pricing of idiosyncratic risk might be substantial. We use exchange traded instruments to control for liquidity effects.