@article{ART003225215},
author={KiHoon Hong and Ryu JiYe},
title={Illusion in Risk Measurement of Startup Stocks: The Intervalling Effect’s Role in Deflated Beta and Exaggerated VaR},
journal={Asset Management Review},
issn={2288-6672},
year={2025},
volume={13},
number={1},
pages={1-15}
TY - JOUR
AU - KiHoon Hong
AU - Ryu JiYe
TI - Illusion in Risk Measurement of Startup Stocks: The Intervalling Effect’s Role in Deflated Beta and Exaggerated VaR
JO - Asset Management Review
PY - 2025
VL - 13
IS - 1
PB - Institute of Management Research, SungKyunKwan University
SP - 1
EP - 15
SN - 2288-6672
AB - Venture capital (VC) portfolios are often composed of illiquid and infrequently traded assets, making them susceptible to the intervalling effect, which distorts the measurement of systematic risk (beta) and value at risk (VaR). This study provides a theoretical and empirical analysis of the impact of the intervalling effect on risk assessment in VC portfolios, demonstrating that as the observation interval increases, beta tends to be underestimated while VaR is overestimated.
These distortions can lead to inaccurate risk evaluations and inefficient investment decisions by portfolio managers. This research highlights the need for adjusted risk measures to account for the intervalling effect and emphasizes the importance of more frequent data observations, offering practical insights to enhance risk management and resource allocation efficiency in VC portfolios.
KW - Intervalling Effect;Systematic Risk;Value at Risk (VaR);Venture Capital;Startup Investment;Liquidity;Risk Management
DO -
UR -
ER -
KiHoon Hong and Ryu JiYe. (2025). Illusion in Risk Measurement of Startup Stocks: The Intervalling Effect’s Role in Deflated Beta and Exaggerated VaR. Asset Management Review, 13(1), 1-15.
KiHoon Hong and Ryu JiYe. 2025, "Illusion in Risk Measurement of Startup Stocks: The Intervalling Effect’s Role in Deflated Beta and Exaggerated VaR", Asset Management Review, vol.13, no.1 pp.1-15.
KiHoon Hong, Ryu JiYe "Illusion in Risk Measurement of Startup Stocks: The Intervalling Effect’s Role in Deflated Beta and Exaggerated VaR" Asset Management Review 13.1 pp.1-15 (2025) : 1.
KiHoon Hong, Ryu JiYe. Illusion in Risk Measurement of Startup Stocks: The Intervalling Effect’s Role in Deflated Beta and Exaggerated VaR. 2025; 13(1), 1-15.
KiHoon Hong and Ryu JiYe. "Illusion in Risk Measurement of Startup Stocks: The Intervalling Effect’s Role in Deflated Beta and Exaggerated VaR" Asset Management Review 13, no.1 (2025) : 1-15.
KiHoon Hong; Ryu JiYe. Illusion in Risk Measurement of Startup Stocks: The Intervalling Effect’s Role in Deflated Beta and Exaggerated VaR. Asset Management Review, 13(1), 1-15.
KiHoon Hong; Ryu JiYe. Illusion in Risk Measurement of Startup Stocks: The Intervalling Effect’s Role in Deflated Beta and Exaggerated VaR. Asset Management Review. 2025; 13(1) 1-15.
KiHoon Hong, Ryu JiYe. Illusion in Risk Measurement of Startup Stocks: The Intervalling Effect’s Role in Deflated Beta and Exaggerated VaR. 2025; 13(1), 1-15.
KiHoon Hong and Ryu JiYe. "Illusion in Risk Measurement of Startup Stocks: The Intervalling Effect’s Role in Deflated Beta and Exaggerated VaR" Asset Management Review 13, no.1 (2025) : 1-15.
