What factors explain the variation of returns of Public Private Partnerships (PPPs)? This question relating to infrastructure financing is important for governments, investors and public policy analysts. However, prior research in the field of finance has paid scant attention to understanding this facet of PPPs. By employing a ‘general to specific’ research approach this thesis addresses the paucity of work on the factors that explain the variation of returns for both debt and equity of PPPs in Australia. The ‘general to specific’ approach first identifies the factors that explain the variation of returns in Australia’s bond and equity markets. After the systematic risk factors are identified, their ability to meaningfully capture the variation of PPP returns is examined. As a result, this thesis presents five empirical chapters, three examining the Australian market in general and two examining the specific risks and returns of PPPs to finance infrastructure.