The market for public firms issuing private equity, debt, and convertible securities is large. Of the over 13,000 issues we examine, more than half are in the private market. Our results show asymmetric information plays a major role in the choice of security type within public and private markets and in the choice of market in which to issue securities. In the public market, firms’ predicted probability of issuing equity declines and issuing debt increases with measures of asymmetric information. There is a weak reversal of this sensitivity in the private market. We also find a large sensitivity of the choice of public versus private markets to asymmetric information, risk and market timing for debt, convertibles, and in particular, equity issues. In this study we examine why public firms issue different security types within public and private security markets. We study both private and public issues of debt, convertibles, and common equity, a total of six different security-market choices. Our comprehensive database makes it possible to assess the factors that impact both security type and market choice. Private security markets are increasingly important for public firms. Of the over 13,000 issues by public firms we examine, more than half are in the private market, comprising issuances of equity, debt, and convertible bonds and convertible preferred stock (henceforth, convertibles). Among the firms that choose to issue equity or convertibles, 51% of the issues are in the private market, and among small public firms (firms in the lowest size quartile) 73% of their equity and convertible issues are in the private markets. Our study uses a methodology that allows us to determine whether firms use security issuance decisions of multiple types and in different markets as a mechanism to address asymmetric