Driessen, Joost; Lin, Tse-Chun; Phalippou, Ludovic - In: Journal of Financial and Quantitative Analysis 47 (2012) 03, pp. 511-535
We develop a new methodology to estimate abnormal performance and risk exposure of nontraded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method...