I'd suggest searching using these terms on pmi.org, but you will want to narrow the field down to specific types of capital projects and by geographic region. You'd also want to get a sense of the distribution of such overruns rather than pure averages.
In its most recent issue, PM Journal has a couple of articles with some statistics in them for mega-event projects. For example, one article indicates that since 1960, the Olympic Games have gone over budget on average by 179%.
Kiron has a point. What type of project? Rail, hospital, infrastructure....
Many factor will influence cost overrun. What is the level of project maturity of the organisation that initiate the projects. In Europe there is generally a more mature structure for PPP project. You should take a look at publication from organization in Europe.
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