*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date No stocks. gamma is mean. merging all rounds together All industries together Using round to IPO/Acquisition returns. Returns overlap for same company! Doing model with k, bankruptcy minage parameter 0.2500 using all rounds, even those that take less than 60 days deleting 4 huge returns There are data points in this estimation before cleaning = 16852 elminated observations with unknown fate: 0 Eliminated observations with >100% or <0% shareholder value 99 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 If out date is before or equal to begin date, treat out date as missing. This affects 25 Relabeling all ipo, acquisition or new round with zero return as out of business. This affects 37 deleting observations with > 300x returns. 4 deleting observations with log annualized return greater than 15 4 Remaining data: 16638 Note: following refers to round, not company. Round may end in another round, though company eventually goes public Percent bankrupt 9.1898 Percent ipo 21.1864 Percent acquired 20.4111 Percent with subsequent round 0 Percent Private 45.4983 Percent Ipo registered 3.7144 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 95.0948 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 47.6323 Directional Iteration Func-count f(x) Step-size derivative 1 5 73179.3 0.001 -2.63e+009 2 14 73179.3 1e-011 -2.63e+009 3 23 60744.1 3.65165e-007 -2.16e+010 4 33 60518.2 3.28071e-005 5.42e+004 5 45 60367.9 0.00028615 -4.81e+005 6 54 60350.3 0.00199805 -8.8e+003 7 64 59431.7 0.178798 8.74e+003 8 73 56032.7 0.0726756 -950 9 85 55391.6 3.38944 -30 10 94 55245.2 1.29891 -26.2 11 103 55213.7 0.659537 0.00196 12 113 55200.6 1.58442 -1.49 13 122 55199.6 0.643578 0.0821 14 131 55199.2 0.333854 -0.0266 15 141 55199.2 0.830475 1.1e-005 Optimization terminated successfully: Search direction less than 2*options.TolX initial and final parameters 0.0100 0 0.9000 0.1000 1.0000 3.0000 0.0100 -0.0082 NaN 0.3001 0.2832 1.0110 3.3754 0.2746 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 3567.00 19931201.00 150.00 19990402.00 2.00 1.25 0.01 64.03 11.36 1074.00 19880601.00 1.00 19950320.00 1.00 65.20 26.47 81.62 11.38 5741.00 19920625.00 10.20 19980528.00 1.00 18.60 0.13 71.10 11.41 2169.00 19930730.00 5.50 19990714.00 1.00 542.40 43.37 71.47 11.44 5360.00 19880601.00 2.50 19950531.00 2.00 170.00 26.31 83.99 11.45 5300.00 19900801.00 6.90 19991122.00 2.00 179.34 16.26 111.69 11.47 2923.00 19920901.00 9.70 19980731.00 2.00 0.90 0.09 70.99 11.48 4191.00 19930319.00 12.40 19990518.00 2.00 1.50 0.12 73.97 11.48 1690.00 19870601.00 12.50 19941101.00 2.00 4.10 0.19 89.00 11.50 4191.00 19921101.00 10.00 19990518.00 2.00 1.50 0.14 78.56 11.50 5928.00 19920221.00 4.50 19981204.00 1.00 355.70 31.54 81.44 11.53 2040.00 19911201.00 11.75 19980624.00 2.00 5.94 0.12 78.76 11.55 3623.00 19870601.00 46.20 19930817.00 1.00 49.10 0.08 74.53 11.56 2253.00 19890701.00 0.80 19960207.00 1.00 97.10 51.24 79.20 11.59 6568.00 19921201.00 6.50 19990831.00 2.00 437.20 39.50 80.99 11.61 1295.00 19911130.00 23.50 19980701.00 2.00 2.90 0.12 79.05 11.62 1858.00 19930427.00 1.00 19991109.00 1.00 541.20 156.28 78.41 11.64 4082.00 19880601.00 20.00 19950503.00 2.00 4.00 0.13 83.07 11.64 494.00 19881101.00 3.20 19971201.00 2.00 78.40 19.36 109.00 11.67 5741.00 19910501.00 7.00 19980528.00 1.00 18.60 0.13 84.89 11.69 4364.00 19891201.00 0.50 19971126.00 1.00 90.50 27.94 95.82 11.72 6533.00 19921207.00 21.30 20000201.00 1.00 82.90 0.11 85.80 11.79 4508.00 19891101.00 26.00 19990929.00 1.00 90.80 0.22 118.92 11.82 998.00 19900101.00 28.30 19971107.00 1.00 24.80 0.05 94.20 11.98 5394.00 19890501.00 2.30 19970919.00 1.00 188.30 63.22 100.59 12.10 2196.00 19870201.00 13.70 19960711.00 2.00 6.80 0.17 113.33 12.17 4191.00 19900207.00 16.80 19990518.00 2.00 1.50 0.05 111.36 12.40 998.00 19880401.00 17.80 19971107.00 1.00 24.80 0.07 115.20 12.47 998.00 19870301.00 5.55 19971107.00 1.00 24.80 0.17 128.20 12.51 5300.00 19890201.00 2.50 19991122.00 2.00 179.34 30.57 129.69 12.57 3967.00 19870201.00 17.40 20000301.00 1.00 1079.00 18.58 157.00 12.65 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err mu % -3.28 NaN sig % 60.01 0.63 k % 28.32 0.65 a 1.01 0.01 b 3.38 0.01 pim * 100 27.46 1.18 c 0.95 d 0.48 log likelyhood -55199.19 gamma and sigma are reported on an annualized basis - 4*gamma and 2*sigma. pim is times 100 Implied mean and sd of return levels 15.00 63.69 NOTE: Doit3 is incrementing tablerow Warning: File not found or permission denied. > In C:\MATLAB6p5\toolbox\matlab\general\@char\delete.m at line 35 In c:\aaj\offroad\revision\mlest3.m at line 207