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An Index for Venture Capital

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  • Quigley, John M.
  • Woodward, Susan E.

Abstract

In this paper we build an index of value for venture capital. Our approach overcomes the problems of intermittent, infrequent pricing of private company deals by using a repeat valuation model to build the index, and it corrects for selection bias in the reporting of values. We use a unique data set from Sand Hill Econometrics. The index measures the return and risk for venture capital. Its covariance with other asset classes from 1987-1999 enables us to explore the role of venture capital in diversified portfolios during a period of increased importance of venture capital in the economy.

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Bibliographic Info

Paper provided by Department of Economics, Institute for Business and Economic Research, UC Berkeley in its series Department of Economics, Working Paper Series with number qt15g2h7g9.

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Date of creation: 11 Jul 2003
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Handle: RePEc:cdl:econwp:qt15g2h7g9

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Related research

Keywords: Private equity; price index;

References

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  1. Case, Bradford & Quigley, John M, 1991. "The Dynamics of Real Estate Prices," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 50-58, February.
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Cited by:
  1. Narasimhan Jegadeesh & Roman Kräussl & Joshua Pollet, 2009. "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," NBER Working Papers 15335, National Bureau of Economic Research, Inc.
  2. Alexander Ljungqvist & Matthew Richardson & Daniel Wolfenzon, 2008. "The Investment Behavior of Buyout Funds: Theory and Evidence," NBER Working Papers 14180, National Bureau of Economic Research, Inc.
  3. Susan E. Woodward & Robert E. Hall, 2004. "Benchmarking the Returns to Venture," NBER Working Papers 10202, National Bureau of Economic Research, Inc.

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