How often do entrepreneurs succeed at start-up?

Speaking at today's BVR/Technology Transfer teleconference on IP valuation, Mike Pellegrino says that research shows that first-time entrepreneurs succeed about 20% of the time. Serial entrepreneurs are successful more of the time, but still only about one out of four attempts. The cost of the failures are sunk, he points if you have a $1 million investment in an 20% success rate, "you only have $200,000 left with which to earn the returns you want." Your discount rate must reflect returns and holding periods based on the part of the investment that isn't 'sunk' in failures."