Risk-Adjusting the Returns to Venture Capital

• 成果类型: Article
• 署名作者: Korteweg, Arthur; Nagel, Stefan
• 署名单位: University of Southern California; University of Michigan System; University of Michigan; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12390
• 发表日期: 2016
• 页码: 1437-1470
• 关键词: Private equity performance; funds; assets; puzzle; FLOWS

摘要

We adapt stochastic discount factor (SDF) valuation methods for venture capital (VC) performance evaluation. Our approach generalizes the popular Public Market Equivalent (PME) method and allows statistical inference in the presence of crosssectionally dependent, skewed VC payoffs. We relax SDF restrictions implicit in the PME so that the SDF can accurately reflect risk-free rates and returns of public equity markets during the sample period. This generalized PME yields substantially different abnormal performance estimates for VC funds and start-up investments, especially in times of strongly rising public equity markets and for investments with betas far from one.