IDEAS home Printed from https://ideas.repec.org/p/ysm/somwrk/ysm221.html
   My bibliography  Save this paper

Building A Venture Capital Index

Author

Listed:
  • Liang Peng

Abstract

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.

Suggested Citation

  • Liang Peng, 2001. "Building A Venture Capital Index," Yale School of Management Working Papers ysm221, Yale School of Management, revised 01 Oct 2001.
  • Handle: RePEc:ysm:somwrk:ysm221
    as

    Download full text from publisher

    File URL: http://icfpub.som.yale.edu/publications/2532
    Download Restriction: no

    References listed on IDEAS

    as
    1. 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.
    2. Cochrane, John H., 2005. "The risk and return of venture capital," Journal of Financial Economics, Elsevier, vol. 75(1), pages 3-52, January.
    3. 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)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cochrane, John H., 2005. "The risk and return of venture capital," Journal of Financial Economics, Elsevier, vol. 75(1), pages 3-52, January.
    2. Masulis, Ronald W. & Nahata, Rajarishi, 2009. "Financial contracting with strategic investors: Evidence from corporate venture capital backed IPOs," Journal of Financial Intermediation, Elsevier, vol. 18(4), pages 599-631, October.
    3. Daniel Wurstbauer & Wolfgang Schäfers, 2015. "Inflation hedging and protection characteristics of infrastructure and real estate assets," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 33(1), pages 19-44, February.
    4. Cumming, Douglas J. & MacIntosh, Jeffrey G., 2006. "Crowding out private equity: Canadian evidence," Journal of Business Venturing, Elsevier, vol. 21(5), pages 569-609, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ysm:somwrk:ysm221. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/smyalus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.