*************************************************************************************************** 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 0.50 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 70765.4 0.001 -2.06e+008 2 18 70765.4 1e-011 -2.06e+008 3 30 67039.7 3.0576e-005 -2.21e+006 4 41 66529.5 1.20996e-005 -1.45e+006 5 53 66510.8 5.10916e-005 -386 6 65 66278.7 0.00273004 -4.09e+004 7 77 66253.4 0.00873435 -27.6 8 88 66242.3 0.0164225 -5.1 9 100 66223.5 0.139441 -0.91 10 112 66133.6 1.51738 -1.38 11 123 66103.5 1.11979 0.00165 12 134 66103.1 0.564677 -0.00142 13 145 66103 0.731733 -0.00436 14 156 66103 1.11561 -0.0131 15 168 66102.9 3.33619 0.000697 16 180 66101.4 19.1804 0.00151 17 192 66060.5 23.553 0.045 18 204 66021.4 1.49713 0.767 19 215 66014.3 1.16076 -0.0535 20 226 66014 0.580918 0.00126 21 238 66013.9 0.794359 0.0022 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 0.65 0.42 0.21 1.64 1.39 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) 139.10 3.84 14.07 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 202.83 3.84 14.07 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 590.07 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 5741.00 19951101.00 37.80 19980528.00 1.00 18.60 0.07 30.89 12.31 4773.00 19900801.00 19.00 19930201.00 6.00 4.20 0.05 30.00 12.41 5398.00 19950817.00 16.00 19990720.00 2.00 2.50 0.16 47.10 12.41 5790.00 19920201.00 1.30 19960715.00 2.00 21.00 16.15 53.46 12.42 3861.00 19920615.00 19.80 19980924.00 2.00 226.80 11.45 75.30 12.45 4461.00 19960202.00 9.83 19990507.00 1.00 325.40 25.78 39.16 12.48 5252.00 19890501.00 6.00 19990405.00 1.00 71.30 6.19 119.13 12.55 5689.00 19960815.00 750.00 19990630.00 2.00 25.00 0.03 34.49 12.57 3536.00 19960805.00 32.80 19990624.00 1.00 9637.60 291.01 34.62 12.57 1986.00 19871101.00 8.00 19940131.00 1.00 116.20 10.53 74.99 12.59 4082.00 19920331.00 55.00 19950503.00 2.00 4.00 0.07 37.08 12.60 1145.00 19951222.00 31.60 19980914.00 2.00 0.62 0.02 32.74 12.65 881.00 19910301.00 2.00 19971125.00 1.00 36.00 12.60 80.79 12.66 494.00 19891222.00 8.00 19971201.00 2.00 78.40 9.80 95.31 12.67 5756.00 19911101.00 4.00 19941230.00 2.00 210.00 52.50 37.95 12.73 635.00 19891101.00 37.00 19930330.00 6.00 2.40 0.02 40.95 12.82 2591.00 19960501.00 2.00 19990901.00 6.00 265.00 122.00 40.00 13.00 2773.00 19950817.00 16.50 19990607.00 2.00 0.41 0.02 45.67 13.21 3967.00 19881101.00 36.00 19970930.00 6.00 20.00 0.25 106.95 13.71 3593.00 19920301.00 1.00 19970519.00 2.00 31.50 31.50 62.59 13.75 4191.00 19930319.00 12.40 19990518.00 2.00 1.50 0.12 73.97 13.99 6556.00 19870201.00 12.80 19980227.00 6.00 9.00 0.32 132.85 14.07 3567.00 19940214.00 260.00 19990402.00 2.00 1.25 0.00 61.61 14.07 498.00 19870901.00 47.40 19971125.00 1.00 568.90 11.40 122.79 14.09 1295.00 19911130.00 23.50 19980701.00 2.00 2.90 0.12 79.05 14.17 1816.00 19880301.00 5.60 19930716.00 1.00 304.20 47.75 64.49 14.24 2923.00 19920901.00 9.70 19980731.00 2.00 0.90 0.09 70.99 14.28 6905.00 19871101.00 8.00 19930801.00 6.00 0.41 0.01 69.00 14.39 6624.00 19871201.00 30.00 20000203.00 1.00 430.30 7.44 146.07 14.40 998.00 19900101.00 28.30 19971107.00 1.00 24.80 0.05 94.20 15.30 5394.00 19890501.00 2.30 19970301.00 6.00 138.90 56.04 94.00 15.35 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % 7.62 1.05 delta 0.65 0.07 sig % 83.08 0.90 k % 20.83 0.56 a 1.64 0.04 b 1.39 0.03 pim * 100 4.06 0.40 c 0.93 d 0.51 log likelyhood -66013.93 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) 20.37 83.65 Implied mean and sd of return levels (annualized) 59.38 100.43 alpha 44.95 beta 0.72 Continuous time alpha (q) (a) (in percent) 10.47 41.88 correlation matrix of estimated parameters 1.00 -0.68 -0.22 0.34 0.13 -0.07 0.07 -0.68 1.00 0.24 -0.25 -0.11 0.14 -0.10 -0.22 0.24 1.00 -0.69 -0.34 0.31 -0.37 0.34 -0.25 -0.69 1.00 0.20 -0.13 0.23 0.13 -0.11 -0.34 0.20 1.00 -0.94 0.29 -0.07 0.14 0.31 -0.13 -0.94 1.00 -0.29 0.07 -0.10 -0.37 0.23 0.29 -0.29 1.00 NOTE: Doit3 is incrementing tablerow