What are the financial returns achieved by business angel investors? Which due diligence procedures do they normally undertake prior to their investment decisions? What is their value-add to the start-up companies they invest in? Previous venture capital literature has struggled to find clear answers to these questions - due to lack of relevant public data and difficulty in approaching high-net-worth individuals. By relying on a sample of 136 business angels who carried out 296 investments and realized a total of 133 exits, this study carries out a comprehensive, international comparison of informal investors'' characteristics and practices across Italy, Spain and Switzerland. The research investigates the impact of socio-economic factors on business angels'' behaviour and financial performance, deriving important implications for investors'' associations and policy-makers. A number of recommendations is developed to help governments design effective incentive structures and foster the development of an early-stage financing market in Europe.