*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date Index = S&P500 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 1.00 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 = 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 7 64290.5 0.001 -2.12e+008 2 18 64290.5 1e-011 -2.12e+008 3 26 64290.5 5e-012 -2.12e+008 4 37 62801.9 1.26229e-005 3.19e+004 5 48 60520.4 3.67557e-005 -2.89e+006 6 59 60037.8 4.52206e-005 -5.55e+004 7 70 60031.3 0.000222254 -2.92e+004 8 78 60028.1 0.000111127 -2.94e+004 9 86 60026.4 5.55634e-005 -2.95e+004 10 94 59989.7 0.00118975 -3.22e+004 11 102 670551 0.022352 2.39e+008 12 110 59905.4 0.0063449 5.32e+004 13 121 59889.1 0.00407066 -1.7e+003 14 132 59711.6 0.645634 131 15 143 59698.8 0.0695757 4.45 16 154 59669.1 0.140963 -14.8 17 165 59590 0.444686 -83.4 18 176 59569.5 0.613894 -0.688 19 188 59546.3 1.3951 0.0574 20 199 59544.1 0.671749 0.0229 21 210 59544 0.527575 -0.00227 22 221 59544 0.732103 -0.000277 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 0.01 0.85 0.43 0.18 1.48 1.48 0.03 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) 41.67 3.84 14.07 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 238.87 3.84 14.07 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 448.75 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 1269.00 19941031.00 10.00 19961001.00 2.00 0.50 0.05 23.01 12.35 4461.00 19960202.00 9.83 19990507.00 1.00 325.40 25.78 39.16 12.36 494.00 19891222.00 8.00 19971201.00 2.00 78.40 9.80 95.31 12.39 3623.00 19870601.00 46.20 19890901.00 6.00 5.00 0.02 27.00 12.39 5252.00 19890501.00 6.00 19990405.00 1.00 71.30 6.19 119.13 12.40 1986.00 19871101.00 8.00 19940131.00 1.00 116.20 10.53 74.99 12.46 603.00 19931203.00 18.00 19960524.00 1.00 728.20 40.10 29.69 12.51 1402.00 19871101.00 4.00 19900216.00 1.00 226.00 43.67 27.49 12.53 5741.00 19951101.00 37.80 19980528.00 1.00 18.60 0.07 30.89 12.61 4773.00 19900801.00 19.00 19930201.00 6.00 4.20 0.05 30.00 12.76 4082.00 19920331.00 55.00 19950503.00 2.00 4.00 0.07 37.08 12.80 5689.00 19960815.00 750.00 19990630.00 2.00 25.00 0.03 34.49 12.95 3536.00 19960805.00 32.80 19990624.00 1.00 9637.60 291.01 34.62 12.95 1145.00 19951222.00 31.60 19980914.00 2.00 0.62 0.02 32.74 13.05 5756.00 19911101.00 4.00 19941230.00 2.00 210.00 52.50 37.95 13.10 635.00 19891101.00 37.00 19930330.00 6.00 2.40 0.02 40.95 13.19 3967.00 19881101.00 36.00 19970930.00 6.00 20.00 0.25 106.95 13.31 2591.00 19960501.00 2.00 19990901.00 6.00 265.00 122.00 40.00 13.40 2773.00 19950817.00 16.50 19990607.00 2.00 0.41 0.02 45.67 13.59 6556.00 19870201.00 12.80 19980227.00 6.00 9.00 0.32 132.85 13.69 4191.00 19930319.00 12.40 19990518.00 2.00 1.50 0.12 73.97 13.70 498.00 19870901.00 47.40 19971125.00 1.00 568.90 11.40 122.79 13.73 1295.00 19911130.00 23.50 19980701.00 2.00 2.90 0.12 79.05 13.76 3593.00 19920301.00 1.00 19970519.00 2.00 31.50 31.50 62.59 13.79 2923.00 19920901.00 9.70 19980731.00 2.00 0.90 0.09 70.99 14.14 6624.00 19871201.00 30.00 20000203.00 1.00 430.30 7.44 146.07 14.20 3567.00 19940214.00 260.00 19990402.00 2.00 1.25 0.00 61.61 14.43 1816.00 19880301.00 5.60 19930716.00 1.00 304.20 47.75 64.49 14.60 6905.00 19871101.00 8.00 19930801.00 6.00 0.41 0.01 69.00 14.78 998.00 19900101.00 28.30 19971107.00 1.00 24.80 0.05 94.20 15.57 5394.00 19890501.00 2.30 19970301.00 6.00 138.90 56.04 94.00 15.66 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % 4.39 0.75 delta 0.85 0.03 sig % 86.59 0.92 k % 17.73 0.55 a 1.48 0.03 b 1.48 0.03 pim * 100 2.80 0.32 c 0.93 d 0.51 log likelyhood -59544.02 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) 18.97 87.52 Implied mean and sd of return levels (annualized) 61.57 106.02 alpha 44.77 beta 0.94 Continuous time alpha (q) (a) (in percent) 10.43 41.74 correlation matrix of estimated parameters 1.00 -0.12 0.22 -0.18 -0.05 0.08 -0.14 -0.12 1.00 -0.46 0.95 0.18 -0.02 0.29 0.22 -0.46 1.00 -0.65 -0.31 0.28 -0.34 -0.18 0.95 -0.65 1.00 0.15 -0.07 0.24 -0.05 0.18 -0.31 0.15 1.00 -0.95 0.28 0.08 -0.02 0.28 -0.07 -0.95 1.00 -0.25 -0.14 0.29 -0.34 0.24 0.28 -0.25 1.00 NOTE: Doit3 is incrementing tablerow