The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Risk and Return Characteristics of Venture Capital-Backed Entrepreneurial Companies
Abstract
Valuations of entrepreneurial companies are only observed occasionally, albeit more frequently for well-performing companies. Consequently, estimators of risk and return must correct for sample selection to obtain consistent estimates. We develop a general model of dynamic sample selection and estimate it using data from venture capital investments in entrepreneurial companies. Our selection correction leads to markedly lower intercepts and higher estimates of risks compared to previous studies. The methodology is generally applicable to estimating risk and return in illiquid markets with endogenous trading.
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Cites
A New Approach to Linear Filtering and Prediction Problems
Kalman, R. E. (1960) · Journal of Basic Engineering · doi:10.1115/1.3662552 · Cited by 31,751
Sampling-based approaches to calculating marginal densities
Gelfand, A. E., & Smith, A. F. M. (1990) · Journal of the American Statistical Association · doi:10.1080/01621459.1990.10476213 · Cited by 6,606
Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance
Baquero, G., ter Horst, J., & Verbeek, M. (2005) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109000001848 · Cited by 305
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Barber, B. M., Morse, A., & Yasuda, A. (2021) · Journal of Financial Economics · doi:10.1016/j.jfineco.2020.07.008 · Cited by 728
What do private equity firms say they do?
Gompers, P., Kaplan, S. N., & Mukharlyamov, V. (2016) · Journal of Financial Economics · doi:10.1016/j.jfineco.2016.06.003 · Cited by 377
Metadata
- Authors
- Korteweg, A., & Sorensen, M.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2010-09-03
- Volume
- 23
- Issue
- 10
- Pages
- 3738-3772
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3123434140
- Cited by
- 219
- References
- 3
- FWCI
- 57.40
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
