This version updates and greatly extends an earlier version written in 2014. The research has been supported by the UAI Foundation and the Center for Research in Security Prices. Rui Cui and Wendy Hu provided excellent research assistance. We thank Burgiss for supplying data. Kaplan has consulted to venture capital and buyout general partners and limited partners. Stucke is employed by a private equity fund. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.