Risk‐Adjusting the Returns to Venture Capital
改进了随机贴现因子估值方法用于风险资本绩效评估，放宽了公共市场等价法的限制，能更准确估计风险资本基金和初创投资的异常表现，尤其适用于公共股权市场大涨或投资贝塔远离1的情况。
ABSTRACT 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 cross‐sectionally 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.