*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date Index = S&P500 Results for round 2.00 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 = 4531.00 elminated observations with unknown fate: 0 Eliminated observations with >100% or <0% shareholder value 29.00 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. 27.00 If out date is before or equal to begin date, treat out date as missing. This affects 8.00 Relabeling all ipo, acquisition or new round with zero return as out of business. This affects 5.00 deleting observations with > 300x returns. 0 deleting observations with log annualized return greater than 15 4.00 Remaining data: 4471.00 Note: following refers to round, not company. Round may end in another round, though company eventually goes public Percent bankrupt 4.03 Percent ipo 6.75 Percent acquired 9.44 Percent with subsequent round 55.00 Percent Private 23.66 Percent Ipo registered 1.12 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 95.56 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 55.37 Directional Iteration Func-count f(x) Step-size derivative 1 7 19722.7 0.00235908 -1.67e+007 2 18 19370.8 2.40586e-005 -1.25e+007 3 29 19005.2 6.42043e-005 -2.04e+005 4 41 18919.2 0.000167176 -2.27e+003 5 55 18846.3 0.00462203 -1.55e+004 6 66 18840.4 2.40007e-010 -2.56e+010 7 74 18811.9 1.24697e-009 -2.36e+010 8 87 18706.1 0.104569 -187 9 98 18522.5 0.0764916 -118 10 110 18432.6 0.228084 -70.8 11 121 18383 0.326403 -53.6 12 132 18376.3 0.280472 0.129 13 143 18371.3 0.258555 -0.348 14 155 18369.7 0.914199 -0.0639 15 166 18369.5 1.54682 -0.0377 16 177 18369.5 0.367593 0.159 17 189 18369.4 0.892219 -0.0171 18 201 18369.2 4.69444 0.00208 19 213 18357 51.4954 0.015 20 224 18326.1 1.82963 -9.62 21 235 18303.4 0.565001 -16.1 22 246 18292.7 0.619634 -0.00287 23 257 18287.8 0.929527 0.515 24 269 18285.9 1.70824 0.0174 25 281 18284.7 1.89108 0.0591 26 293 18283.9 2.23398 0.119 27 304 18283.6 1.14047 0.0039 28 315 18283.6 0.769307 -0.000747 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 0.02 0.64 0.41 0.22 1.59 1.38 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) 35.49 3.84 14.07 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 52.89 3.84 14.07 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 153.65 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 2807.00 19921001.00 4.20 19930601.00 6.00 0.50 0.07 8.00 10.97 5602.00 19900301.00 22.00 19930527.00 6.00 13.00 0.19 38.85 10.99 6672.00 19960201.00 2.88 19961015.00 6.00 1.00 0.07 8.46 11.02 2694.00 19900501.00 16.40 19901129.00 2.00 1.80 0.11 6.92 11.03 5493.00 19990331.00 68.21 20000201.00 2.00 3250.00 47.65 10.01 11.05 3542.00 19980305.00 20.00 19980904.00 6.00 3.00 0.09 5.97 11.07 4507.00 19900201.00 6.00 19910501.00 6.00 3.70 0.13 15.00 11.07 2199.00 19920501.00 18.00 19950801.00 6.00 6.00 0.19 39.00 11.08 5189.00 19930602.00 11.50 19940217.00 6.00 1.60 0.04 8.49 11.12 6260.00 19880501.00 2.30 19890501.00 6.00 2.10 0.09 12.00 11.15 5921.00 19880901.00 8.90 19941214.00 1.00 88.50 6.65 75.43 11.22 4851.00 19881101.00 43.00 19930915.00 2.00 10.70 0.25 58.46 11.34 436.00 19970924.00 4.20 19990915.00 6.00 100.00 20.90 23.70 11.34 6718.00 19981208.00 9.52 20000120.00 2.00 756.50 79.46 13.39 11.39 2882.00 19890628.00 5.00 19900901.00 6.00 2.50 0.10 14.11 11.42 1819.00 19930115.00 18.00 19950322.00 6.00 17.04 0.12 26.23 11.55 6370.00 19911101.00 13.00 19960809.00 2.00 2.85 0.22 57.26 11.56 1712.00 19970716.00 16.96 19990122.00 1.00 1453.30 76.17 18.20 11.57 1419.00 19950430.00 8.00 19970905.00 2.00 200.00 25.00 28.18 11.64 6497.00 19870801.00 31.40 19890501.00 6.00 6.20 0.03 21.00 11.73 7286.00 19971201.00 48.00 19990729.00 6.00 8.00 0.07 19.92 11.84 1713.00 19890201.00 32.50 19950625.00 6.00 10.00 0.26 76.79 11.93 6250.00 19900301.00 9.50 19920506.00 1.00 282.10 27.23 26.16 12.00 5398.00 19950817.00 16.00 19990720.00 2.00 2.50 0.16 47.10 12.35 3536.00 19960805.00 32.80 19990624.00 1.00 9637.60 291.01 34.62 12.63 5252.00 19890501.00 6.00 19990405.00 1.00 71.30 6.19 119.13 12.72 494.00 19891222.00 8.00 19971201.00 2.00 78.40 9.80 95.31 12.81 635.00 19891101.00 37.00 19930330.00 6.00 2.40 0.02 40.95 12.89 2773.00 19950817.00 16.50 19990607.00 2.00 0.41 0.02 45.67 13.29 3967.00 19881101.00 36.00 19970930.00 6.00 20.00 0.25 106.95 13.71 6905.00 19871101.00 8.00 19930801.00 6.00 0.41 0.01 69.00 14.52 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % 7.53 2.31 delta 0.64 0.16 sig % 82.33 1.75 k % 21.61 1.36 a 1.59 0.07 b 1.38 0.05 pim * 100 3.61 0.83 c 0.96 d 0.55 log likelyhood -18283.56 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) 20.19 82.89 Implied mean and sd of return levels (annualized) 58.44 99.23 alpha 44.15 beta 0.70 Continuous time alpha (q) (a) (in percent) 10.29 41.17 correlation matrix of estimated parameters 1.00 -0.77 -0.11 0.29 0.11 -0.03 0.08 -0.77 1.00 0.11 -0.17 -0.14 0.12 -0.10 -0.11 0.11 1.00 -0.66 -0.36 0.32 -0.52 0.29 -0.17 -0.66 1.00 0.23 -0.14 0.40 0.11 -0.14 -0.36 0.23 1.00 -0.95 0.31 -0.03 0.12 0.32 -0.14 -0.95 1.00 -0.28 0.08 -0.10 -0.52 0.40 0.31 -0.28 1.00 NOTE: Doit3 is incrementing tablerow