The Risk and Return of Venture Capital

This paper measures the mean, standard deviation, alpha, and beta of venture capital investments, using a maximum likelihood estimate that corrects for selection bias.The bias corrected estimation neatly accounts for log returns.It reduces the estimate of the mean log return from 108% to 15%, and of the log market model intercept from 92% to 7%:...

The-Risk-and-Return-of-Venture-Capital-John-H.Cochrane-2004

Journal of Financial Economics Volume 75, Issue 1, January 2005, Pages 3–52

Source: http://www.sciencedirect.com/science/article/...