An Index for Venture Capital
AbstractIn 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 InfoPaper 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.
Date of creation: 11 Jul 2003
Date of revision:
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Private equity; price index;
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- 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.
- 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.
- Jegadeesh, Narasimhan & Kräussl, Roman & Pollet, Joshua, 2010.
"Risk and expected returns of private equity investments: Evidence based on market prices,"
CFS Working Paper Series
2010/04, Center for Financial Studies (CFS).
- 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.
- 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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