Building A Venture Capital Index
This paper builds a venture capital index from 1987 to 1999 that consists of 12,946 rounds of venture financing with 5,643 venture-backed firms. The paper uses two innovative techniques, a re-weighting procedure and a method of moment repeat sales regression, to mitigates three problems - missing data, censored data, and sample selection. We report the time series of capital flows, net asset value, and returns of the venture capital index. We find that the venture capital industry experienced dramatic growth in the sample periods, in terms of capital flows, the number of financing rounds and venture-backed firms, and the net asset value of the index. In addition, the returns to venture capital are high and volatile. The geometric average return is 55.18% per year in the sample periods, with the lowest annual return in 1990 (-5.94%)and the highest in 1999 (681.22%). The venture capital index has much higher volatility than SP 500 and NASDAQ. Moreover, we find significant correlation between the venture capital index and NASDAQ for returns and volatility.
|Date of creation:||01 Aug 2001|
|Date of revision:||01 Oct 2001|
|Contact details of provider:|| Web page: http://icf.som.yale.edu/|
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- Tobias J. Moskowitz & Annette Vissing-Jorgensen, 2000. "The Private Equity Premium Puzzle," CRSP working papers 524, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Cochrane, John H., 2005.
"The risk and return of venture capital,"
Journal of Financial Economics,
Elsevier, vol. 75(1), pages 3-52, January.
- Cochrane, John, 2000. "The Risk and Return of Venture Capital," University of California at Los Angeles, Anderson Graduate School of Management qt7qm9h594, Anderson Graduate School of Management, UCLA.
- John H. Cochrane, 2001. "The Risk and Return of Venture Capital," NBER Working Papers 8066, National Bureau of Economic Research, Inc.
- Liang Peng, 2001. "A New Approach of Valuing Illiquid Asset Portfolios," Yale School of Management Working Papers ysm175, Yale School of Management, revised 01 Aug 2001. Full references (including those not matched with items on IDEAS)