*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date No stocks. gamma is mean. merging all rounds together All industries together Using round to round returns. Only last round gets ipo return Doing model with k, bankruptcy minage parameter 0.25 using all rounds, even those that take less than 60 days deleting 4 huge returns There are data points in this estimation before cleaning = 16852.00 elminated observations with unknown fate: 0 Eliminated observations with >100% or <0% shareholder value 99.00 Eliminated observations with missing round date 0 Note. Beta procedure -- cannot handle missing round date, so eliminating those. Eliminating observations that start in second quarter 2000. Need one quarter lag for probability. 107.00 If out date is before or equal to begin date, treat out date as missing. This affects 39.00 Relabeling all ipo, acquisition or new round with zero return as out of business. This affects 15.00 deleting observations with > 300x returns. 1.00 deleting observations with log annualized return greater than 15 12.00 Remaining data: 16633.00 Note: following refers to round, not company. Round may end in another round, though company eventually goes public Percent bankrupt 4.25 Percent ipo 7.85 Percent acquired 9.20 Percent with subsequent round 54.18 Percent Private 23.32 Percent Ipo registered 1.21 Percent fate unknown 0 0 Percent of bankrupt have good data. Using this parameter in simulation Note: good means round date and exit date not -99 93.07 Percent of new valuation (ipo,acquired,new round) that have good data. Using this parameter in simulation. Note: good means final date not -99, return not missing or 0 50.99 Directional Iteration Func-count f(x) Step-size derivative 1 5 82901.9 0.001 -1.11e+009 2 14 82901.9 1e-011 -1.11e+009 3 20 82901.9 5e-012 -1.11e+009 4 30 75050.7 6.60199e-005 -2.61e+007 5 39 71971.5 1.13529e-005 -2.21e+008 6 48 70650.1 0.000426348 -2.99e+006 7 57 70362.5 1.46922e-006 -2.04e+008 8 63 70222.8 7.34611e-007 -1.81e+008 9 75 69051.5 0.214779 -160 10 85 68996.9 0.599805 7.37 11 95 68990 1.1633 -9.44 12 104 68987.5 0.0333815 -6.83 13 114 68985.8 2.79678 -0.00111 14 123 68983.6 1.76423 0.00349 15 133 68959.8 38.5449 -0.334 16 142 68957.7 0.0953166 -14.1 17 152 68953.1 1.08122 0.0352 18 162 68952.9 1.6866 0.00152 19 172 68952.3 6.18186 -0.000227 Optimization terminated successfully: Search direction less than 2*options.TolX initial and final parameters 0.01 0 0.90 0.10 1.00 3.00 0.01 -0.02 NaN 0.34 0.19 2.21 0.96 0.10 looking for most influential observations 30 most influential observations and their contrib to lkly co. no. round date post value exit date exit typ post value gross ret age(mo) lkly contrib 4117.00 19890801.00 1.30 19931201.00 6.00 15.90 7.85 52.00 12.38 2872.00 19911220.00 8.40 19950810.00 1.00 109.20 11.77 43.67 12.45 4549.00 19920915.00 7.10 19960523.00 1.00 166.60 18.29 44.26 12.48 2773.00 19950817.00 16.50 19990607.00 2.00 0.41 0.02 45.67 12.49 4918.00 19920703.00 9.60 19970221.00 1.00 104.40 7.92 55.59 12.51 2702.00 19921001.00 0.45 19961201.00 6.00 9.50 11.11 50.00 12.55 4091.00 19871201.00 22.00 19980130.00 1.00 115.12 3.56 121.95 12.55 3967.00 19881101.00 36.00 19970930.00 6.00 20.00 0.25 106.95 12.56 1933.00 19901201.00 11.00 19950811.00 1.00 122.90 8.48 56.33 12.63 6556.00 19870201.00 12.80 19980227.00 6.00 9.00 0.32 132.85 12.79 5790.00 19920201.00 1.30 19960715.00 2.00 21.00 16.15 53.46 12.86 5921.00 19880901.00 8.90 19941214.00 1.00 88.50 6.65 75.43 12.88 5867.00 19870901.00 40.80 19930526.00 1.00 364.70 7.69 68.82 12.91 4191.00 19930319.00 12.40 19990518.00 2.00 1.50 0.12 73.97 13.19 3593.00 19920301.00 1.00 19970519.00 2.00 31.50 31.50 62.59 13.20 3567.00 19940214.00 260.00 19990402.00 2.00 1.25 0.00 61.61 13.20 4066.00 19900501.00 1.30 19951109.00 1.00 22.40 11.04 66.26 13.25 1816.00 19880301.00 5.60 19930716.00 1.00 304.20 47.75 64.49 13.32 1295.00 19911130.00 23.50 19980701.00 2.00 2.90 0.12 79.05 13.39 2923.00 19920901.00 9.70 19980731.00 2.00 0.90 0.09 70.99 13.41 6145.00 19890601.00 12.70 19951117.00 1.00 120.20 8.31 77.53 13.42 6905.00 19871101.00 8.00 19930801.00 6.00 0.41 0.01 69.00 13.42 1986.00 19871101.00 8.00 19940131.00 1.00 116.20 10.53 74.99 13.58 3861.00 19920615.00 19.80 19980924.00 2.00 226.80 11.45 75.30 13.58 881.00 19910301.00 2.00 19971125.00 1.00 36.00 12.60 80.79 13.82 5252.00 19890501.00 6.00 19990405.00 1.00 71.30 6.19 119.13 14.15 998.00 19900101.00 28.30 19971107.00 1.00 24.80 0.05 94.20 14.26 494.00 19891222.00 8.00 19971201.00 2.00 78.40 9.80 95.31 14.26 5394.00 19890501.00 2.30 19970301.00 6.00 138.90 56.04 94.00 14.27 498.00 19870901.00 47.40 19971125.00 1.00 568.90 11.40 122.79 15.24 6624.00 19871201.00 30.00 20000203.00 1.00 430.30 7.44 146.07 15.61 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err mu % -8.92 NaN sig % 68.76 0.60 k % 19.21 0.32 a 2.21 0.02 b 0.96 0.01 pim * 100 9.86 0.56 c 0.93 d 0.51 log likelyhood -68947.03 gamma and sigma are reported on an annualized basis - 4*gamma and 2*sigma. pim is times 100 Implied mean and sd of return levels 15.00 73.50 NOTE: Doit3 is incrementing tablerow do likleyhood ratio by hand constrained estimates \begin{tabular}{lllllllllllll} $\gamma$ & $\delta$ & $\sigma$ & $E ln R$ & $\sigma ln R$ & ER & $\sigma R$ & $\alpha$ & $\beta$ & k & a & b & $\pi$ \\ -3.3 & 0.0 & 60.0 & -3.3 & 60.0 & 15.0 & 63.7 & -99.0 & -99.0 & 28.3 & 1.0 & 3.4 & 27.5 \\ -8.9 & 0.0 & 68.8 & -8.9 & 68.8 & 15.0 & 73.5 & -99.0 & -99.0 & 19.2 & 2.2 & 1.0 & 9.9 \end{tabular} likelyhood 55199.19 68947.03