The New Risk and Return of Venture Capital
Details
Serval ID
serval:BIB_27E98EF67FE8
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
The New Risk and Return of Venture Capital
Journal
Journal of Portfolio Management
Publication state
Published
Issued date
2023
Peer-reviewed
Oui
Language
english
Abstract
In this article, the authors estimate the risk and return of venture capital investments with selection bias correction. They use an up-to-date dataset and enhance it to account for missing valuations using machine learning. They infer, with a median error of less than 4%, the true log value of the firm for a total of nearly 120,000 observations from 2010 to 2022. They find an annualized expected return of around 38%, an annualized CAPM alpha of 32.14%, a beta of 1.37, and an idiosyncratic risk of 40%.
Create date
27/09/2023 17:54
Last modification date
17/05/2024 6:57