*************************************************************************************************** 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 0.25 using all rounds, even those that take less than 60 days deleting 4 huge returns There are data points in this estimation before cleaning = 16852.00 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 25.00 Relabeling all ipo, acquisition or new round with zero return as out of business. This affects 37.00 deleting observations with > 300x returns. 4.00 deleting observations with log annualized return greater than 15 4.00 Remaining data: 16638.00 Note: following refers to round, not company. Round may end in another round, though company eventually goes public Percent bankrupt 9.19 Percent ipo 21.19 Percent acquired 20.41 Percent with subsequent round 0 Percent Private 45.50 Percent Ipo registered 3.71 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 95.09 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 47.63 Directional Iteration Func-count f(x) Step-size derivative 1 4 73188.8 0.001 -2.62e+009 2 12 73188.8 1e-011 -2.62e+009 3 17 73188.8 5e-012 -2.62e+009 4 26 58681.6 4.41756e-006 -5.16e+008 5 35 57012.6 3.72982e-005 2.72e+005 6 44 56901.9 0.00257508 -7.44e+003 7 53 56562.8 1.47657 0.274 8 62 56562 2.69983 -0.0147 9 70 56561.9 0.840257 -0.00229 Optimization terminated successfully: Search direction less than 2*options.TolX initial and final parameters 0.01 0 0.90 0.10 1.00 3.00 0 -0.05 NaN 0.41 0.16 0.82 4.03 NaN 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 Columns 1 through 7 3536.00 19960805.00 32.80 19990624.00 1.00 9637.60 291.01 5891.00 19971211.00 8.10 19990514.00 1.00 1403.80 147.89 378.00 19920101.00 24.00 19920306.00 1.00 293.10 9.05 1765.00 19970531.00 108.00 19980626.00 1.00 104.00 0.03 1985.00 19990322.00 140.00 19990629.00 1.00 86.20 0.12 5493.00 19990331.00 68.21 20000201.00 2.00 3250.00 47.65 6934.00 19981023.00 7.88 19991209.00 1.00 1191.00 102.89 6787.00 19950321.00 12.00 19971007.00 1.00 38.20 0.01 6146.00 19941115.00 6.40 19950302.00 1.00 88.60 10.89 2083.00 19960410.00 51.50 19960816.00 1.00 677.90 11.59 4471.00 19981201.00 5.05 19990923.00 1.00 618.00 59.31 3837.00 19951001.00 5.30 19960401.00 1.00 218.50 30.81 3365.00 19990301.00 63.00 19990929.00 1.00 2100.80 29.97 6787.00 19960321.00 15.15 19971007.00 1.00 38.20 0.01 5493.00 19981015.00 11.00 20000201.00 2.00 3250.00 186.73 6787.00 19930219.00 2.20 19971007.00 1.00 38.20 0.01 3567.00 19931201.00 150.00 19990402.00 2.00 1.25 0.01 6533.00 19990917.00 120.00 20000201.00 1.00 82.90 0.04 3859.00 19990115.00 43.55 19990721.00 1.00 1914.60 37.31 1531.00 19990401.00 212.00 19990701.00 1.00 3034.10 13.94 3567.00 19940214.00 260.00 19990402.00 2.00 1.25 0.00 4471.00 19981115.00 2.40 19990923.00 1.00 618.00 98.61 4636.00 19990219.00 159.00 19990505.00 1.00 2970.20 16.08 6787.00 19961115.00 20.34 19971007.00 1.00 38.20 0.01 1313.00 19990501.00 122.00 19991101.00 2.00 6900.00 56.56 2394.00 19971212.00 117.00 19980318.00 1.00 2160.30 17.80 5762.00 19991005.00 38.00 20000306.00 2.00 805.20 21.19 6787.00 19970327.00 26.30 19971007.00 1.00 38.20 0.01 3966.00 19891024.00 10.00 19901001.00 1.00 22.80 0.00 6787.00 19970627.00 40.20 19971007.00 1.00 38.20 0.01 5488.00 19960116.00 28.80 19960627.00 1.00 1607.10 54.61 Columns 8 through 9 34.62 19.30 17.10 19.96 2.16 19.99 12.84 20.51 3.23 20.85 10.01 21.13 13.54 22.30 30.54 22.46 3.57 22.69 4.20 22.69 9.72 22.75 6.00 22.93 6.92 22.93 18.54 23.02 15.54 23.38 55.61 23.76 64.03 23.94 4.47 23.99 6.20 25.01 3.00 25.63 61.61 26.46 10.26 27.17 2.54 28.82 10.74 29.34 6.00 29.55 3.20 30.51 5.03 34.07 6.34 34.14 11.24 36.03 3.34 49.47 5.36 53.15 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err mu % -18.43 NaN sig % 81.43 0.40 k % 16.29 0.07 a 0.82 0.02 b 4.03 0.07 pim * 100 NaN NaN c 0.95 d 0.48 log likelyhood -56561.85 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 88.10 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 215