*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date Index = S&P500 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 Using S&P500 for betas 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 6 71911.5 0.001 -2.59e+009 2 16 71911.5 1e-011 -2.59e+009 3 26 57573.5 1.26587e-005 -7.12e+007 4 37 55715.9 2.7006e-005 2.25e+005 5 49 55642.6 0.00202275 1.78e+004 6 60 55339 0.0127884 1.4e+003 7 70 55316.1 0.0016634 -4.46e+003 8 80 55071.1 1.12198 23.3 9 90 54911 0.482806 35.6 10 100 54855.9 0.465781 0.748 11 111 54801.3 1.16279 -10.1 12 121 54794.5 0.936729 0.32 13 131 54793 0.421847 1.64 14 142 54792.7 0.744788 -0.0314 15 152 54792.6 1.19236 -0.0184 16 162 54792.6 1.31313 -0.00112 17 173 54792.4 2.64503 -0.00474 18 185 54791.7 7.86773 0.00636 19 196 54789.8 3.22134 0.00904 20 207 54760.2 30.8165 -0.00404 21 217 54714.1 3.11675 -2.19 22 227 54678.4 3.34692 0.799 23 237 54656.8 0.69315 -1.55 24 248 54653.8 1.52835 -0.281 25 258 54653.3 1.18939 -0.019 26 268 54652.5 2.55055 0.0177 27 278 54651.5 1.09348 -0.0424 28 288 54651.4 1.10706 0.00322 Optimization terminated successfully: Current search direction is a descent direction, and magnitude of directional derivative in search direction less than 2*options.TolFun sigm = 0.0747 initial and final parameters 0.0100 1.5000 0.9000 0.1000 1.0000 3.0000 0.0100 -0.0753 2.4543 0.3654 0.2322 0.8992 3.9137 0.1472 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 7 150.00 19931201.00 3.00 19980717.00 1.00 606.30 99.74 3567.00 19931201.00 150.00 19990402.00 2.00 1.25 0.01 5394.00 19890501.00 2.30 19970919.00 1.00 188.30 63.22 6874.00 19900401.00 52.50 19930701.00 2.00 2.70 0.04 2771.00 19891002.00 0.70 19940224.00 1.00 95.40 38.25 1234.00 19901101.00 0.60 19940728.00 1.00 197.40 56.97 2253.00 19890701.00 0.80 19960207.00 1.00 97.10 51.24 5741.00 19920625.00 10.20 19980528.00 1.00 18.60 0.13 1816.00 19880301.00 5.60 19930716.00 1.00 304.20 47.75 5345.00 19870801.00 16.10 19901201.00 2.00 2.40 0.07 1269.00 19920201.00 6.70 19961001.00 2.00 0.50 0.03 4191.00 19930319.00 12.40 19990518.00 2.00 1.50 0.12 4082.00 19901015.00 40.00 19950503.00 2.00 4.00 0.09 4191.00 19921101.00 10.00 19990518.00 2.00 1.50 0.14 5756.00 19911101.00 4.00 19941230.00 2.00 210.00 52.50 2040.00 19911201.00 11.75 19980624.00 2.00 5.94 0.12 5687.00 19910102.00 1.20 19950317.00 1.00 178.40 84.71 1858.00 19930427.00 1.00 19991109.00 1.00 541.20 156.28 1295.00 19911130.00 23.50 19980701.00 2.00 2.90 0.12 2923.00 19920901.00 9.70 19980731.00 2.00 0.90 0.09 5741.00 19910501.00 7.00 19980528.00 1.00 18.60 0.13 4508.00 19891101.00 26.00 19990929.00 1.00 90.80 0.22 4082.00 19880601.00 20.00 19950503.00 2.00 4.00 0.13 6533.00 19921207.00 21.30 20000201.00 1.00 82.90 0.11 1885.00 19890101.00 50.00 19940726.00 2.00 5.80 0.07 3623.00 19870601.00 46.20 19930817.00 1.00 49.10 0.08 998.00 19900101.00 28.30 19971107.00 1.00 24.80 0.05 2196.00 19870201.00 13.70 19960711.00 2.00 6.80 0.17 4191.00 19900207.00 16.80 19990518.00 2.00 1.50 0.05 998.00 19880401.00 17.80 19971107.00 1.00 24.80 0.07 998.00 19870301.00 5.55 19971107.00 1.00 24.80 0.17 Columns 8 through 9 55.53 11.59 64.03 11.59 100.59 11.60 39.00 11.62 52.72 11.62 44.89 11.62 79.20 11.62 71.10 11.64 64.49 11.67 40.00 11.70 56.00 11.70 73.97 11.71 54.61 11.72 78.56 11.74 37.95 11.78 78.76 11.81 50.49 11.83 78.41 11.88 79.05 11.89 70.99 11.91 84.89 11.94 118.92 11.99 83.07 12.08 85.80 12.10 66.82 12.19 74.53 12.31 94.20 12.36 113.33 12.46 111.36 12.70 115.20 12.85 128.20 12.87 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % -30.10 NaN delta 2.45 0.06 sig % 73.08 0.74 k % 23.22 0.59 a 0.90 0.03 b 3.91 0.13 pim * 100 14.72 0.79 c 0.95 d 0.48 log likelyhood -54651.37 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 sigm = 0.07 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) -0.95 81.77 Implied mean and sd of return levels (annualized) 33.84 92.52 alpha -0.00 beta 2.56 Continuous time alpha (q) (a) (in percent) 0.15 0.59 correlation matrix of estimated parameters 1.00 0.52 -0.22 -0.42 0.43 -0.32 0.52 1.00 -0.75 -0.31 0.30 -0.52 -0.22 -0.75 1.00 0.06 -0.03 0.36 -0.42 -0.31 0.06 1.00 -0.99 0.22 0.43 0.30 -0.03 -0.99 1.00 -0.21 -0.32 -0.52 0.36 0.22 -0.21 1.00 NOTE: Doit3 is incrementing tablerow