Determinants of the round-to-round returns to pre-IPO venture capital investments in U.S. biotechnology companies

Journal of Business Venturing

Volumn 22, Issue 1, 2007, Pages 1-28

  Hand, John R M ^a  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

Author keywords

Book to market; Firm size; Growth options; Risk; Round to round returns

Indexed keywords

EID: 33749670535     PISSN: 08839026     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbusvent.2005.09.004     Document Type: Article

References (38)

1. Admati A.R., and Pfleiderer P. Robust financial contracting and the role of venture capitalists. Journal of Finance 49 2 (1994) 371-402
2. Anderson, C.W., Garcia-Feijóo, L., in press. Empirical evidence on capital investment, growth options, and security returns. Journal of Finance.
3. Berk J.B., Green R.C., and Naik V. Optimal investment, growth options, and security returns. Journal of Finance 54 5 (1999) 1553-1607
4. Black F. Estimating expected return. Financial Analyst Journal (1993) 36-38 (Sept./Oct.)
5. Campbell, J., Hilscher, J., Szilagyi, J. 2005. In search of distress risk. Working paper, Harvard University.
6. Carlson M., Fisher A., and Giammarino R. Price dynamics: implications for the cross-section of returns. Journal of Finance 59 6 (2004) 2577-2603
7. Cochrane J.H. The risk and return of venture capital. Journal of Financial Economics 75 1 (2005) 3-52
8. Cumming, D., Walz, U., 2004. Private equity returns and disclosure around the world. Working paper, University of Alberta.
9. Dichev I.D. Is the risk of bankruptcy a systematic risk?. Journal of Finance 53 3 (1998) 1131-1147
10. Fama E., and French K. The cross-section of expected stock returns. Journal of Finance 47 (1992) 427-465
11. Fama E., and French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 43 (1993) 3-56
12. Fama E., and French K. Multifactor explanations of asset pricing anomalies. Journal of Finance 51 (1996) 55-84
13. Gomes J., Kogan L., and Zhang L. Equilibrium cross-section of returns. Journal of Political Economy 111 (2003) 693-732
14. Gompers P.A., and Lerner J. Risk and reward in private equity investments: the challenge of performance assessment. Journal of Private Equity 1 (1998) 5-12 Winter
15. Gompers P.A., and Lerner J. An analysis of compensation in the U.S. venture capital partnership. Journal of Financial Economics 51 (1999) 3-44
16. Gompers P.A., and Lerner J. The Venture Capital Cycle (2000), MIT Press, Cambridge, MA
17. Gompers P.A., and Lerner J. Money chasing deals? The impact of fund inflows on private equity investments. Journal of Financial Economics 55 (2000) 281-325
18. Hand J.R.M. The value relevance of financial statements in venture capital markets. Accounting Review 80 (2005) 613-648
19. Hansen L.P. Large sample properties of generalized method of moments estimators. Econometrica 50 (1982) 1029-1054
20. Heckman J.J. Sample selection bias as a specification error. Econometrica 47 (1979) 153-161
21. Hellman T.F. Venture capitalists: the coaches of Silicon Valley. In: Miller W.F., Hancock M.G., and Rowen H.S. (Eds). The Silicon Valley Edge: A Habitat for Innovation and Entrepreneurship (2000), Stanford University Press, Stanford, CA
22. Hellman T.F., and Puri M. The interaction between product market and financing strategy: the role of venture capital. Review of Financial Studies 13 (2000) 959-984
23. Hellman T.F., and Puri M. Venture capital and the professionalization of start-up firms: empirical evidence. Journal of Finance 57 (2002) 169-198
24. Jones, C.M., Rhodes-Kropf, M., 2004. The price of diversifiable risk in venture capital and private equity. Working paper, Columbia University.
25. Kaplan S.N., and Schoar A. Private equity performance: returns, persistence and capital. Journal of Finance 60 4 (2005) 1791-1824
26. Lakonishok J., Shleifer A., and Vishny R.W. Contrarian investment, extrapolation, and risk. Journal of Finance 49 (1994) 1541-1578
27. Lerner J. The importance of patent scope: an empirical analysis. Rand Journal of Economics 25 (1994) 319-333
28. Lerner J., and Merges R. The control of technology alliances: an empirical analysis of the biotechnology industry. Journal of Industrial Economics 46 (1998) 125-156
29. Ljungqvist, A., Richardson, M., 2003. The cash flow, return and risk characteristics of private equity. Working paper, New York University.
30. Lo A. Data-snooping biases in financial analysis. In: Russell Folger H. (Ed). Blending Quantitative and Traditional Equity Analysis (1994), AIMR, Charlottesville, VA
31. Lo A., and MacKinlay A.C. Data snooping biases in tests of financial asset pricing models. Review of Financial Studies 3 (1990) 431-468
32. Newey W.K., and West K.D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55 (1987) 703-708
33. Nicholson S., Danzon P.M., and McCullough J. Biotech-pharmaceutical alliances as a signal of asset and firm quality. Journal of Business 78 (2005) 1433-1464
34. Sarin A., Das S.R., and Jagannathan M. The private equity discount: an empirical examination of the exit of venture backed companies. Journal of Investment Management 1 (2003) 152-177
35. Seppä, T.J. 2003. Essays on the valuation and syndication of venture capital investments. Ph.D. dissertation, Helsinki University of Technology.
36. Woodward, S.E. 2004. Measuring risk and performance for private equity. Working paper, Sand Hill Econometrics.
37. Zhang L. The value premium. Journal of Finance 60 (2004) 67-103
38. Zucker L.G., Darby M.R., and Brewer M.B. Intellectual human capital and the birth of U.S. biotechnology enterprises. American Economic Review 88 1 (1998) 290-306