*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date Index = S&P500 Results for round 1.00 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 Using S&P500 for betas There are data points in this estimation before cleaning = 7765.00 elminated observations with unknown fate: 0 Eliminated observations with >100% or <0% shareholder value 31.00 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. 61.00 If out date is before or equal to begin date, treat out date as missing. This affects 21.00 Relabeling all ipo, acquisition or new round with zero return as out of business. This affects 3.00 deleting observations with > 300x returns. 1.00 deleting observations with log annualized return greater than 15 5.00 Remaining data: 7667.00 Note: following refers to round, not company. Round may end in another round, though company eventually goes public Percent bankrupt 3.87 Percent ipo 4.64 Percent acquired 7.84 Percent with subsequent round 58.67 Percent Private 24.59 Percent Ipo registered 0.39 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 87.88 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 41.73 Directional Iteration Func-count f(x) Step-size derivative 1 7 30901.9 0.0016444 -3.76e+007 2 18 30901.9 1.6444e-011 -3.76e+007 3 26 30901.9 8.222e-012 -3.76e+007 4 38 30590 2.60719e-005 -4.1e+004 5 50 29608.7 0.000202154 -4.46e+005 6 61 29517.7 8.02973e-005 -2.17e+003 7 72 29502.9 0.00513381 276 8 83 29495.9 0.0662577 -31.5 9 94 29494.2 0.0938173 0.31 10 105 29488.1 0.0917045 4.55 11 116 29488.1 0.0192344 0.442 12 128 29487.2 0.631487 -0.00175 13 140 29487.2 1.25228 -0.000243 14 151 29487.1 1.30345 0.0211 15 163 29487.1 2.07863 0.000693 16 175 29486.5 13.7986 -0.000953 17 186 29452 33.6206 -0.919 18 197 29452 4.11571e-007 -542 19 205 29452 2.05785e-007 -542 20 218 29426.7 0.0861482 -74.4 21 229 29404.4 1.21663 -0.353 22 240 29382.1 0.876389 -0.185 23 251 29364.3 0.792508 -0.182 24 262 29361.2 1.06947 0.00121 25 274 29359.7 1.34501 0.000967 26 285 29358.6 1.20041 0.00321 27 297 29355.7 3.43854 -0.205 28 308 29348.4 3.24948 -0.64 29 319 29342.5 1.6493 0.583 30 330 29342.3 0.528603 -0.0721 31 341 29341.8 0.529445 0.363 32 355 29338.8 17.3461 -0.00983 33 366 29310.5 7.43892 -0.312 34 377 29285.1 3.41118 0.83 35 389 29249.2 2.42992 -0.319 36 400 29188.9 0.607712 -50.5 37 411 29161.7 0.652175 -0.492 38 422 29133.8 0.892542 -1.42 39 434 29122 1.69875 0.00952 40 445 29119.7 0.973889 0.0334 41 456 29119.5 0.888697 -0.00192 Optimization terminated successfully: Current search direction is a descent direction, and magnitude of directional derivative in search direction less than 2*options.TolFun initial and final parameters 0.01 1.50 0.90 0.10 1.00 3.00 0.01 0.03 0.84 0.44 0.16 1.90 1.34 0.04 chi2 tests. NOTE NO MINIMIZATION OVER OTHER PARAMETERS YET test for gamma = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 138.07 3.84 14.07 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 155.12 3.84 14.07 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 495.25 5.99 14.07 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 3216.00 19940131.00 12.20 19961025.00 1.00 277.10 20.09 32.80 11.62 2253.00 19890701.00 0.80 19911231.00 6.00 20.90 19.87 29.99 11.63 4985.00 19881101.00 14.00 19900801.00 6.00 4.20 0.14 21.00 11.64 3294.00 19890501.00 48.00 19920801.00 2.00 10.00 0.21 39.00 11.65 4436.00 19980701.00 2.20 20000222.00 6.00 8.70 0.05 19.69 11.73 6627.00 19870101.00 3.10 19921220.00 6.00 6.40 0.29 71.62 11.75 6574.00 19870701.00 10.80 19891001.00 6.00 9.50 0.13 27.00 11.75 4043.00 19921201.00 22.00 19941001.00 2.00 2.90 0.13 22.00 11.76 2807.00 19910301.00 37.20 19921001.00 6.00 4.20 0.06 19.00 11.91 3538.00 19931018.00 1.20 19951231.00 2.00 35.30 29.42 26.43 11.95 2506.00 19930701.00 37.50 19950830.00 6.00 10.00 0.08 25.95 11.95 3320.00 19930501.00 11.00 19950505.00 6.00 1.60 0.01 24.13 12.01 4549.00 19920915.00 7.10 19960523.00 1.00 166.60 18.29 44.26 12.01 3623.00 19870601.00 46.20 19890901.00 6.00 5.00 0.02 27.00 12.11 3861.00 19920615.00 19.80 19980924.00 2.00 226.80 11.45 75.30 12.14 881.00 19910301.00 2.00 19971125.00 1.00 36.00 12.60 80.79 12.20 5790.00 19920201.00 1.30 19960715.00 2.00 21.00 16.15 53.46 12.20 1986.00 19871101.00 8.00 19940131.00 1.00 116.20 10.53 74.99 12.28 1402.00 19871101.00 4.00 19900216.00 1.00 226.00 43.67 27.49 12.33 4461.00 19960202.00 9.83 19990507.00 1.00 325.40 25.78 39.16 12.44 4178.00 19880801.00 41.00 19950801.00 2.00 12.00 0.29 84.00 12.50 5689.00 19960815.00 750.00 19990630.00 2.00 25.00 0.03 34.49 12.67 1145.00 19951222.00 31.60 19980914.00 2.00 0.62 0.02 32.74 12.80 5756.00 19911101.00 4.00 19941230.00 2.00 210.00 52.50 37.95 12.82 2591.00 19960501.00 2.00 19990901.00 6.00 265.00 122.00 40.00 13.12 498.00 19870901.00 47.40 19971125.00 1.00 568.90 11.40 122.79 13.31 6624.00 19871201.00 30.00 20000203.00 1.00 430.30 7.44 146.07 13.55 6556.00 19870201.00 12.80 19980227.00 6.00 9.00 0.32 132.85 14.03 1816.00 19880301.00 5.60 19930716.00 1.00 304.20 47.75 64.49 14.18 2923.00 19920901.00 9.70 19980731.00 2.00 0.90 0.09 70.99 14.25 5394.00 19890501.00 2.30 19970301.00 6.00 138.90 56.04 94.00 15.08 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % 11.37 1.38 delta 0.84 0.09 sig % 88.93 1.26 k % 15.66 0.65 a 1.90 0.06 b 1.34 0.03 pim * 100 4.31 0.51 c 0.88 d 0.42 log likelyhood -29119.45 gamma and sigma are reported on an annualized basis - 4*gamma and 2*sigma. pim is times 100 Implied Er sigr ER alpha and beta Using parameters (annualized percentages) ElogRf, ElogRm, sigmalogRm 6.82 15.92 14.94 beta is at a quarterly frequency, alpha is annualized Implied mean and sd of log returns (annualized) 25.85 89.82 Implied mean and sd of return levels (annualized) 71.98 111.56 alpha 55.08 beta 0.95 Continuous time alpha (q) (a) (in percent) 12.69 50.77 correlation matrix of estimated parameters 1.00 -0.61 -0.01 0.17 0.11 0.04 0.03 -0.61 1.00 0.10 -0.02 -0.12 0.12 -0.13 -0.01 0.10 1.00 -0.63 -0.32 0.34 -0.30 0.17 -0.02 -0.63 1.00 0.26 -0.18 0.21 0.11 -0.12 -0.32 0.26 1.00 -0.92 0.34 0.04 0.12 0.34 -0.18 -0.92 1.00 -0.34 0.03 -0.13 -0.30 0.21 0.34 -0.34 1.00 NOTE: Doit3 is incrementing tablerow