메뉴 건너뛰기




Volumn 71, Issue 3, 2016, Pages 1437-1470

Risk-Adjusting the Returns to Venture Capital

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84966552459     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/jofi.12390     Document Type: Article
Times cited : (114)

References (36)
  • 1
    • 84915739648 scopus 로고    scopus 로고
    • Do private equity funds game returns? Working paper
    • University of Chicago.
    • Brown, Gregory W., Oleg Gredil, and Steven N. Kaplan, 2015, Do private equity funds game returns? Working paper, University of Chicago.
    • (2015)
    • Brown, G.W.1    Gredil, O.2    Kaplan, S.N.3
  • 2
    • 11044231189 scopus 로고    scopus 로고
    • The risk and return of venture capital
    • Cochrane, John H., 2005, The risk and return of venture capital, Journal of Financial Economics 75, 3-52.
    • (2005) Journal of Financial Economics , vol.75 , pp. 3-52
    • Cochrane, J.H.1
  • 3
    • 0001912322 scopus 로고    scopus 로고
    • GMM estimation with cross sectional dependence
    • Conley, Timothy G., 1999, GMM estimation with cross sectional dependence, Journal of Econometrics 92, 1-45.
    • (1999) Journal of Econometrics , vol.92 , pp. 1-45
    • Conley, T.G.1
  • 4
    • 84936823769 scopus 로고
    • Capital market equilibrium with transaction costs
    • Constantinides, George M., 1986, Capital market equilibrium with transaction costs, Journal of Political Economy 94, 842-862.
    • (1986) Journal of Political Economy , vol.94 , pp. 842-862
    • Constantinides, G.M.1
  • 5
    • 84865428119 scopus 로고    scopus 로고
    • A new method to estimate risk and return of nontraded assets from cash flows: The case of private equity funds
    • Driessen, Joost, Tse-Chun Lin, and Ludovic Phalippou, 2012, A new method to estimate risk and return of nontraded assets from cash flows: The case of private equity funds, Journal of Financial and Quantitative Analysis 47, 511-535.
    • (2012) Journal of Financial and Quantitative Analysis , vol.47 , pp. 511-535
    • Driessen, J.1    Lin, T.-C.2    Phalippou, L.3
  • 6
    • 84924571855 scopus 로고    scopus 로고
    • The price of diversifiable risk in venture capital and private equity
    • Ewens, Michael, Charles M. Jones, and Matthew Rhodes-Kropf, 2013, The price of diversifiable risk in venture capital and private equity, Review of Financial Studies 26, 1854-1889.
    • (2013) Review of Financial Studies , vol.26 , pp. 1854-1889
    • Ewens, M.1    Jones, C.M.2    Rhodes-Kropf, M.3
  • 7
    • 84929192911 scopus 로고    scopus 로고
    • Is a VC partnership greater than the sum of its partners
    • Ewens, Michael, and Matthew Rhodes-Kropf, 2015, Is a VC partnership greater than the sum of its partners? Journal of Finance 70, 1081-1113.
    • (2015) Journal of Finance , vol.70 , pp. 1081-1113
    • Ewens, M.1    Rhodes-Kropf, M.2
  • 8
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 23-49.
    • (1993) Journal of Financial Economics , vol.33 , pp. 23-49
    • Fama, E.F.1    French, K.R.2
  • 9
    • 84869818089 scopus 로고    scopus 로고
    • Private equity performance and liquidity risk
    • Franzoni, Francesco, Eric Nowak, and Ludovic Phalippou, 2012, Private equity performance and liquidity risk, Journal of Finance 67, 2341-2373.
    • (2012) Journal of Finance , vol.67 , pp. 2341-2373
    • Franzoni, F.1    Nowak, E.2    Phalippou, L.3
  • 10
    • 0003912095 scopus 로고
    • Risk aversion and intertemporal substitution in the capital asset pricing model
    • Working paper, NBER.
    • Giovannini, Alberto, and Philippe Weil, 1989, Risk aversion and intertemporal substitution in the capital asset pricing model, Working paper, NBER.
    • (1989)
    • Giovannini, A.1    Weil, P.2
  • 11
    • 0008761286 scopus 로고    scopus 로고
    • Risk and reward in private equity investments: The challenge of performance assessment
    • Gompers, Paul A., and Josh Lerner, 1997, Risk and reward in private equity investments: The challenge of performance assessment, Journal of Private Equity 1, 5-12.
    • (1997) Journal of Private Equity , vol.1 , pp. 5-12
    • Gompers, P.A.1    Lerner, J.2
  • 12
    • 0039927635 scopus 로고    scopus 로고
    • An analysis of compensation in the U.S. venture capital partnership
    • Gompers, Paul A., and Josh Lerner, 1999, An analysis of compensation in the U.S. venture capital partnership, Journal of Financial Economics 51, 3-44.
    • (1999) Journal of Financial Economics , vol.51 , pp. 3-44
    • Gompers, P.A.1    Lerner, J.2
  • 13
    • 0001022794 scopus 로고    scopus 로고
    • Covariance matrix estimation and the power of the overidentifying restrictions test
    • Hall, Alastair R., 2000, Covariance matrix estimation and the power of the overidentifying restrictions test, Econometrica 68, 1517-1527.
    • (2000) Econometrica , vol.68 , pp. 1517-1527
    • Hall, A.R.1
  • 14
    • 77952510013 scopus 로고    scopus 로고
    • The incentives to start new companies: Evidence from venture capital
    • Working paper, NBER.
    • Hall, Robert E., and Susan E. Woodward, 2007, The incentives to start new companies: Evidence from venture capital, Working paper, NBER.
    • (2007)
    • Hall, R.E.1    Woodward, S.E.2
  • 15
    • 77956126732 scopus 로고    scopus 로고
    • The burden of the nondiversifiable risk of entrepreneurship
    • Hall, Robert E., and Susan E. Woodward, 2010, The burden of the nondiversifiable risk of entrepreneurship, American Economic Review 100, 1163-1194.
    • (2010) American Economic Review , vol.100 , pp. 1163-1194
    • Hall, R.E.1    Woodward, S.E.2
  • 16
    • 84915739646 scopus 로고    scopus 로고
    • Private equity performance: What do we know
    • Harris, Robert S., Tim Jenkinson, and Steven N. Kaplan, 2014, Private equity performance: What do we know? Journal of Finance 69, 1851-1882.
    • (2014) Journal of Finance , vol.69 , pp. 1851-1882
    • Harris, R.S.1    Jenkinson, T.2    Kaplan, S.N.3
  • 17
    • 84915818246 scopus 로고    scopus 로고
    • How fair are the valuations of private equity funds?
    • Working paper, Oxford University.
    • Jenkinson, Tim, Miguel Sousa, and Rüdiger Stucke, 2013, How fair are the valuations of private equity funds? Working paper, Oxford University.
    • (2013)
    • Jenkinson, T.1    Sousa, M.2    Stucke, R.3
  • 18
    • 23944516772 scopus 로고    scopus 로고
    • Private equity performance: Returns, persistence, and capital flows
    • Kaplan, Steven N., and Antoinette Schoar, 2005, Private equity performance: Returns, persistence, and capital flows, Journal of Finance 60, 1791-1823.
    • (2005) Journal of Finance , vol.60 , pp. 1791-1823
    • Kaplan, S.N.1    Schoar, A.2
  • 19
    • 11044237074 scopus 로고    scopus 로고
    • How well do venture capital databases reflect actual investments?
    • Working paper, University of Chicago.
    • Kaplan, Steven N., Berk A. Sensoy, and Per Strömberg, 2002, How well do venture capital databases reflect actual investments? Working paper, University of Chicago.
    • (2002)
    • Kaplan, S.N.1    Sensoy, B.A.2    Strömberg, P.3
  • 20
    • 77956909591 scopus 로고    scopus 로고
    • Risk and return characteristics of venture capital-backed entrepreneurial companies
    • Korteweg, Arthur, and Morten Sorensen, 2010, Risk and return characteristics of venture capital-backed entrepreneurial companies, Review of Financial Studies 23, 3738-3772.
    • (2010) Review of Financial Studies , vol.23 , pp. 3738-3772
    • Korteweg, A.1    Sorensen, M.2
  • 21
    • 33947244923 scopus 로고    scopus 로고
    • Smart institutions, foolish choices: The limited partner performance puzzle
    • Lerner, Josh, Antoinette Schoar, and Wan Wongsunwai, 2007, Smart institutions, foolish choices: The limited partner performance puzzle, Journal of Finance 62, 731-764.
    • (2007) Journal of Finance , vol.62 , pp. 731-764
    • Lerner, J.1    Schoar, A.2    Wongsunwai, W.3
  • 22
    • 1342308715 scopus 로고    scopus 로고
    • The cash flow, return and risk characteristics of private equity
    • Working paper, NYU Stern.
    • Ljungqvist, Alexander, and Matthew Richardson, 2003, The cash flow, return and risk characteristics of private equity, Working paper, NYU Stern.
    • (2003)
    • Ljungqvist, A.1    Richardson, M.2
  • 23
    • 74949138347 scopus 로고    scopus 로고
    • Portfolio claustrophobia: Asset pricing in markets with illiquid assets
    • Longstaff, Francis A., 2009, Portfolio claustrophobia: Asset pricing in markets with illiquid assets, American Economic Review 99, 1119-1144.
    • (2009) American Economic Review , vol.99 , pp. 1119-1144
    • Longstaff, F.A.1
  • 24
    • 77952537550 scopus 로고    scopus 로고
    • The economics of private equity funds
    • Metrick, Andrew, and Ayako Yasuda, 2010, The economics of private equity funds, Review of Financial Studies 23, 2303-2341.
    • (2010) Review of Financial Studies , vol.23 , pp. 2303-2341
    • Metrick, A.1    Yasuda, A.2
  • 25
    • 0040080308 scopus 로고    scopus 로고
    • The returns to entrepreneurial investment: A private equity premium puzzle
    • Moskowitz, Tobias J., and Annette Vissing-Jorgensen, 2002, The returns to entrepreneurial investment: A private equity premium puzzle? American Economic Review 92, 745-778.
    • (2002) American Economic Review , vol.92 , pp. 745-778
    • Moskowitz, T.J.1    Vissing-Jorgensen, A.2
  • 26
    • 11044233873 scopus 로고    scopus 로고
    • Building a venture capital index
    • Working paper, University of Colorado, Boulder.
    • Peng, Liang, 2001, Building a venture capital index, Working paper, University of Colorado, Boulder.
    • (2001)
    • Peng, L.1
  • 27
  • 28
    • 84886219587 scopus 로고    scopus 로고
    • What drives private equity fund performance?
    • Working paper, Wharton School.
    • Phalippou, Ludovic, and Maurizio Zollo, 2005, What drives private equity fund performance? Working paper, Wharton School.
    • (2005)
    • Phalippou, L.1    Zollo, M.2
  • 29
    • 84873488823 scopus 로고    scopus 로고
    • Cyclicality, performance measurement, and cash flow liquidity in private equity
    • Working paper, Ohio State and Duke University.
    • Robinson, David T., and Berk A. Sensoy, 2011, Cyclicality, performance measurement, and cash flow liquidity in private equity, Working paper, Ohio State and Duke University.
    • (2011)
    • Robinson, D.T.1    Sensoy, B.A.2
  • 30
    • 0016997122 scopus 로고
    • The valuation of uncertain income streams and the pricing of options
    • Rubinstein, Mark, 1976, The valuation of uncertain income streams and the pricing of options, Bell Journal of Economics 7, 407-425.
    • (1976) Bell Journal of Economics , vol.7 , pp. 407-425
    • Rubinstein, M.1
  • 31
    • 44249103904 scopus 로고    scopus 로고
    • Private equity versus stocks: Do the alternative asset's risk and return characteristics add value to the portfolio
    • Schmidt, Daniel M., 2006, Private equity versus stocks: Do the alternative asset's risk and return characteristics add value to the portfolio? Journal of Alternative Investments 9, 28-47.
    • (2006) Journal of Alternative Investments , vol.9 , pp. 28-47
    • Schmidt, D.M.1
  • 32
    • 0001783260 scopus 로고
    • On the estimation of beta-pricing models
    • Shanken, Jay, 1992, On the estimation of beta-pricing models, Review of Financial Studies 5, 1-33.
    • (1992) Review of Financial Studies , vol.5 , pp. 1-33
    • Shanken, J.1
  • 33
    • 84998854681 scopus 로고    scopus 로고
    • The public market equivalent and private equity performance
    • Sorensen, Morten, and Ravi Jagannathan, 2015, The public market equivalent and private equity performance, Financial Analysts Journal 71, 43-50.
    • (2015) Financial Analysts Journal , vol.71 , pp. 43-50
    • Sorensen, M.1    Jagannathan, R.2
  • 35
    • 84966547806 scopus 로고    scopus 로고
    • Updating history, Working paper, University of Oxford.
    • Stucke, Rüdiger, 2011, Updating history, Working paper, University of Oxford.
    • (2011)
    • Stucke, R.1
  • 36
    • 84873492157 scopus 로고    scopus 로고
    • Measuring risk for venture capital and private equity portfolios
    • Working paper, Sand Hill Econometrics.
    • Woodward, Susan, 2009, Measuring risk for venture capital and private equity portfolios, Working paper, Sand Hill Econometrics.
    • (2009)
    • Woodward, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.