*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date Index = S&P500 merging all rounds together Results for other industry Using round to round returns. Only last round gets ipo return Doing model with k, bankruptcy minage parameter 0.50 Using S&P500 for betas There are data points in this estimation before cleaning = 442.00 elminated observations with unknown fate: 0 Eliminated observations with >100% or <0% value 0 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. 0 If out date is before or equal to begin date, treat out date as missing. This affects 0 Relabeling all ipo, acquisition or new round with zero return as out of business. This affects 0 deleting observations with > 300x returns. 0 deleting observations with log annualized return greater than 15 0 Remaining data: 442.00 Note: following refers to round, not company. Round may end in another round, though company eventually goes public Percent bankrupt 7.01 Percent ipo 9.95 Percent acquired 13.12 Percent with subsequent round 51.58 Percent Private 18.10 Percent Ipo registered 0.23 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 90.32 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 39.27 Directional Iteration Func-count f(x) Step-size derivative 1 6 1926.26 0.0312984 -1.23e+005 2 16 1926.26 3.12984e-010 -1.23e+005 3 23 1926.26 1.56492e-010 -1.23e+005 4 34 1904.85 0.0002166 -1.4e+003 5 45 1889.67 0.000807859 -145 6 56 1888.36 0.00718501 -1.93 7 66 1879.18 0.0124085 -47.6 8 77 1877.99 0.527019 -0.0495 9 87 1877.02 0.102768 -2.77 10 98 1876.48 1.3848 -0.00494 11 108 1876.44 0.859932 -0.00689 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 0.07 0.92 0.76 0.04 1.69 2.10 chi2 tests. NOTE NO MINIMIZATION OVER OTHER PARAMETERS test for gamma = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 23.52 3.84 12.59 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 1.38 3.84 12.59 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 40.60 5.99 12.59 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 1758.00 19900515.00 9.80 19930331.00 6.00 15.00 1.33 34.53 8.00 7221.00 19920928.00 10.90 19960216.00 6.00 30.21 1.85 40.61 8.01 3650.00 19930617.00 31.00 19960215.00 1.00 122.40 2.70 31.93 8.03 907.00 19890901.00 10.00 19910409.00 6.00 10.30 0.51 19.26 8.07 4362.00 19950430.00 15.60 19971017.00 6.00 18.50 0.87 29.57 8.09 6627.00 19930312.00 22.80 19960206.00 6.00 40.40 1.15 34.80 8.09 1371.00 19880301.00 13.00 19910821.00 6.00 35.00 1.76 41.66 8.10 6627.00 19921220.00 6.40 19930312.00 6.00 22.80 2.97 2.74 8.14 2020.00 19961105.00 14.70 19980601.00 6.00 57.48 3.43 18.87 8.20 3966.00 19891024.00 10.00 19901001.00 1.00 22.80 0.00 11.24 8.32 4080.00 19900101.00 22.00 19911201.00 6.00 12.00 0.34 23.00 8.36 2274.00 19881026.00 0.75 19890409.00 6.00 6.90 3.20 5.44 8.40 1758.00 19870901.00 10.00 19900515.00 6.00 9.80 0.59 32.46 8.46 7362.00 19940601.00 11.20 19960307.00 2.00 2.20 0.20 21.20 8.54 7221.00 19960216.00 30.21 19991208.00 2.00 34.30 1.14 45.74 8.56 635.00 19930826.00 5.50 19941101.00 2.00 20.00 3.64 14.18 8.70 1101.00 19901101.00 8.00 19930201.00 6.00 2.70 0.31 27.00 8.70 206.00 19920501.00 13.50 19970101.00 6.00 17.00 0.89 56.00 9.11 3398.00 19921115.00 14.00 19961001.00 1.00 12.80 0.50 46.54 9.21 4080.00 19911201.00 12.00 19941228.00 6.00 5.90 0.12 36.89 9.31 4357.00 19951201.00 0.65 19961112.00 6.00 3.60 4.00 11.36 9.33 6446.00 19890201.00 8.00 19950302.00 2.00 20.00 2.50 73.03 9.47 1757.00 19940126.00 20.00 19980918.00 6.00 12.00 0.51 55.74 9.55 635.00 19891101.00 37.00 19930330.00 6.00 2.40 0.02 40.95 9.55 6457.00 19920423.00 1.00 19940504.00 6.00 11.00 4.00 24.38 10.13 6627.00 19870101.00 3.10 19921220.00 6.00 6.40 0.29 71.62 10.17 2047.00 19941004.00 0.45 19960315.00 6.00 3.00 4.44 17.36 10.32 4364.00 19951108.00 13.40 19971126.00 1.00 90.50 4.37 24.59 10.82 4738.00 19940415.00 35.70 19960401.00 2.00 162.00 4.54 23.54 11.12 907.00 19910409.00 10.30 19920310.00 1.00 88.40 5.55 11.03 15.34 6406.00 19951001.00 2.21 19960515.00 6.00 26.00 5.88 7.46 19.48 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % 26.83 5.96 delta 0.92 0.19 sig % 152.99 8.39 k % 4.32 1.39 a 1.69 0.20 b 2.10 0.18 c 0.90 d 0.39 log likelyhood -1876.44 gamma and sigma are reported on an annualized basis - 4*gamma and 2*sigma 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) 42.04 153.61 Implied mean and sd of return levels (annualized) 196.76 267.52 alpha 176.01 beta 1.32 Continuous time alpha (q) (a) (in percent) 35.95 143.78 correlation matrix of estimated parameters 1.00 -0.24 0.22 -0.15 -0.12 0.26 -0.24 1.00 -0.72 0.99 0.03 0.03 0.22 -0.72 1.00 -0.75 -0.16 0.15 -0.15 0.99 -0.75 1.00 0.02 0.09 -0.12 0.03 -0.16 0.02 1.00 -0.90 0.26 0.03 0.15 0.09 -0.90 1.00 NOTE: Doit3 is incrementing tablerow table 0 -- sample character texprint: rows of header not equal to colums of matrix texprint: rows of row head not equal to rows of matrix \begin{tabular}{llllllllllllllll} & N & Out of bus. & Ipo & Acquired & Another round & Private ®istered & c & d \\ $\gamma$ & 16633 & 16633 & 16633 & 16633 & 6764 & 16633 & 16633 & 7667 & 4471 & 2453 & 1234 & 3912 & 9188 & 3091 & 442 \\ $\delta$ & 4 & 4 & 4 & 4 & 2 & 28 & 4 & 4 & 4 & 5 & 5 & 4 & 4 & 4 & 7 \\ $\sigma$ & 8 & 8 & 8 & 8 & 12 & 8 & 8 & 5 & 7 & 11 & 18 & 9 & 8 & 7 & 10 \\ $E ln R$ & 9 & 9 & 9 & 9 & 11 & 9 & 9 & 8 & 9 & 11 & 11 & 8 & 11 & 5 & 13 \\ $\sigma ln R$ & 54 & 54 & 54 & 54 & 69 & 54 & 54 & 59 & 55 & 50 & 41 & 59 & 55 & 45 & 52 \\ ER & 25 & 25 & 25 & 25 & 7 & 1 & 25 & 25 & 25 & 23 & 25 & 20 & 22 & 39 & 18 \\ $\sigma R$ & 93 & 93 & 93 & 93 & 67 & 99 & 93 & 88 & 96 & 99 & 98 & 94 & 93 & 94 & 90 \\ b & 51 & 51 & 51 & 51 & 54 & 51 & 51 & 42 & 55 & 61 & 66 & 55 & 52 & 41 & 39 \end{tabular} table 1 -- estimates \begin{tabular}{lllllllllllll} & $\gamma$ & $\delta$ & $\sigma$ & $E ln R$ & $\sigma ln R$ & ER & $\sigma R$ & $\alpha$ & $\beta$ & k & a & b \\ All & 69.3 & 1.5 & 234.1 & 90.1 & 235.2 & 600.5 & 864.5 & 554.8 & 3.7 & 1.1 & 0.8 & 3.2 \\ Nasdaq & 59.2 & 1.6 & 229.9 & 85.8 & 232.9 & 576.7 & 829.1 & 511.7 & 3.8 & 1.2 & 0.8 & 3.3 \\ Nasdaq Small & 72.1 & 0.9 & 233.2 & 90.3 & 234.9 & 599.2 & 861.3 & 553.7 & 2.2 & 1.1 & 0.8 & 3.2 \\ all, no $\delta$ & 93.6 & 0.0 & 229.5 & 93.6 & 229.5 & 576.4 & 806.8 & -99.0 & -99.0 & 1.2 & 0.8 & 3.3 \\ Pre 1997 & 80.2 & 0.4 & 192.3 & 90.4 & 192.3 & 396.2 & 491.0 & 382.0 & 0.7 & 1.0 & 1.0 & 2.7 \\ Dead 2000 & 98.6 & 2.4 & 185.7 & 127.4 & 189.1 & 459.9 & 516.9 & 400.7 & 5.0 & 89.1 & 0.5 & 5.1 \\ 6 Mo cutoff & 69.3 & 1.5 & 234.1 & 90.1 & 235.2 & 600.5 & 864.5 & 554.8 & 3.7 & 1.1 & 0.8 & 3.2 \\ Round 1 & 78.8 & 2.1 & 248.0 & 105.0 & 250.0 & 736.2 & 1103.3 & 667.9 & 5.8 & 1.0 & 0.9 & 3.5 \\ Round 2 & 72.8 & 1.6 & 227.4 & 94.0 & 228.6 & 572.7 & 798.4 & 526.9 & 3.7 & 1.5 & 1.0 & 2.9 \\ Round 3 & 72.5 & 0.3 & 211.8 & 82.2 & 211.8 & 460.7 & 619.2 & 447.0 & 0.7 & 3.1 & 1.2 & 2.4 \\ Round 4 & 68.8 & 0.1 & 221.9 & 76.9 & 221.9 & 497.2 & 698.7 & 487.1 & 0.3 & 1.9 & 1.2 & 2.2 \\ Health & 72.2 & 0.7 & 181.0 & 85.4 & 181.3 & 347.0 & 421.8 & 326.8 & 1.3 & 4.3 & 1.1 & 2.7 \\ Info & 70.2 & 2.4 & 246.6 & 98.8 & 249.2 & 713.3 & 1074.3 & 638.9 & 6.4 & 1.0 & 0.8 & 3.2 \\ Retail & 80.0 & 0.9 & 271.9 & 94.6 & 272.2 & 879.1 & 1482.3 & 844.4 & 2.6 & 1.0 & 0.9 & 3.1 \\ Other & 26.8 & 0.9 & 153.0 & 42.0 & 153.6 & 196.8 & 267.5 & 176.0 & 1.3 & 4.3 & 1.7 & 2.1 \end{tabular} table 1a -- standard errors for table 1 \begin{tabular}{lllllll} & $\sigma(\gamma)$ & $\sigma(\delta)$ & $\sigma(\sigma)$ & $\sigma(k)$ & $\sigma(a)$ & $\sigma(b)$ \\ All & 2.6 & 0.2 & 2.1 & 0.1 & 0.0 & 0.0 \\ Nasdaq & 2.0 & 0.0 & 2.1 & 0.1 & 0.0 & 0.0 \\ Nasdaq Small & 1.9 & 0.1 & 2.3 & 0.1 & 0.0 & 0.0 \\ all, no $\delta$ & 1.9 & -99.0 & 2.1 & 0.1 & 0.0 & 0.1 \\ Pre 1997 & 2.4 & 0.2 & 1.3 & 0.0 & 0.0 & 0.1 \\ Dead 2000 & 2.0 & 0.1 & 1.7 & 2.0 & 0.0 & 0.1 \\ 6 Mo cutoff & 2.6 & 0.2 & 2.1 & 0.1 & 0.0 & 0.0 \\ Round 1 & 2.7 & 0.1 & 2.0 & 0.0 & 0.0 & 0.1 \\ Round 2 & 4.7 & 0.3 & 3.4 & 0.2 & 0.0 & 0.1 \\ Round 3 & 5.4 & 0.4 & 4.0 & 0.5 & 0.1 & 0.1 \\ Round 4 & 8.2 & 0.5 & 6.1 & 0.4 & 0.1 & 0.1 \\ Health & 3.7 & 0.2 & 2.8 & 0.5 & 0.0 & 0.1 \\ Info & 2.6 & 0.0 & 2.0 & 0.0 & 0.0 & 0.0 \\ Retail & 7.0 & 0.4 & 4.0 & 0.0 & 0.0 & 0.1 \\ Other & 6.0 & 0.2 & 8.4 & 1.4 & 0.2 & 0.2 \end{tabular}