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This paper investigates the financial contracting behavior of German venture capitalists against the results of recent theoretical work on the design of venture capital contracts, especially with regard to the use of convertible securities. First, we identify a special feature of the German market, namely that public-private partnership agencies require(More)
We analyze governance with a dataset on investments of venture capitalists in 3848 portfolio firms in 39 countries from North and South America, Europe and Asia spanning 1971-2003. We find that cross-country differences in Legality have a significant impact on the governance structure of investments in the VC industry: better laws facilitate faster deal(More)
  • Florencio Lopez-de-Silanes, Ludovic Phalippou, +27 authors Jason Zein
  • 2012
We examine the determinants of private equity returns using a newly constructed database of 7,500 investments worldwide over forty years. One in ten investments does not return any money, whereas one in four has an IRR above 50%. Performance does not appear scalable: investments held by private equity firms at times of a high number of other simultaneous(More)
We use responses to survey questions in the 2010 Italian Survey of Household Income and Wealth that ask consumers how much of an unexpected transitory income change they would consume. We find that the marginal propensity to consume (MPC) is 48 percent on average, and that there is substantial heterogeneity in the distribution. We find that households with(More)
We analyze the desinvestment decision of venture capitalists in the course of an IPO of their portfolio firms. The capital market learns of the project quality only in the period following the IPO. Venture capitalists with high-quality firms face a trade-off between immediately selling their stake in the venture at a price below the true value and having to(More)
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in microstructure noise. Using transaction data of different stocks traded(More)
We adopt a real options approach to analyse the value of recently auctioned UMTSlicenses, focussing on Germany as the largest European market. For that purpose we develop a real options model with an abandonment as well as a growth option. Not having an appropriate underlying security of the options, we pursue an indirect approach by assuming a stochastic(More)
Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail–correlation matrices based on Value–at–Risk (VaR) estimates. We demonstrate how to obtain more efficient tail–correlation estimates by use of overidentification strategies and(More)