*************************************************************************************************** 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 0.25 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 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 5 71922.1 0.001 -2.58e+009 2 14 71922 1e-011 -2.58e+009 3 23 71922 1.5e-013 -4.66e+010 4 29 71922 7.50002e-014 -4.66e+010 5 35 71922 3.75001e-014 -4.66e+010 6 41 71922 1.875e-014 -4.66e+010 7 50 71922 1.5e-013 -7.78e+010 8 70 65290.6 0.000622239 -4.03e+006 9 79 65214 0.000550953 9.77e+003 10 88 65157.7 0.0833228 -695 11 94 65447.4 0.401052 1.89e+004 12 100 64997.7 0.253529 -609 13 109 64961.1 0.0234018 -1.6e+003 14 115 567182 0.78365 1.31e+006 15 121 64959.4 0.00102286 -1.6e+003 16 127 64958.6 0.000511432 -1.6e+003 17 133 64958.2 0.000255716 -1.6e+003 18 139 64958 0.000127858 -1.6e+003 19 145 64957.9 6.3929e-005 -1.6e+003 20 151 64957.8 3.19645e-005 -1.6e+003 21 162 64882.7 0.121238 52.3 22 172 59493.1 11.6465 -13.2 23 181 59301.1 0.280423 -620 24 190 58811.6 1.21616 -3.33 25 200 58766.9 4.97722 -0.236 26 210 57947 26.1737 -1.42 27 219 57947 3.92606e-007 -1.17e+003 28 232 57361.4 0.558309 -141 29 241 57358.1 0.751455 -0.0374 30 250 57356.8 0.557352 -0.33 31 261 57285.2 113.93 -0.174 32 270 57226.1 1.05159 -43.7 33 279 56909.9 1.74029 -3.25 34 289 56333.3 4.22539 2 35 298 56128.9 2.94422 27.9 36 307 55917.6 2.86439 -7.18 37 316 55899.1 0.407563 -13.3 38 325 55893.8 0.815753 -0.0288 39 335 55893.2 2.41019 0.00676 40 344 55892.7 1.96879 -0.0219 41 354 55884.7 34.4949 0.00209 42 363 55748.4 11.4703 -7.85 43 372 55743.6 0.0266159 -177 44 382 55675.8 0.808154 -5.17 45 391 55672.3 1.0917 0.231 46 400 55671.8 0.298139 0.708 47 410 55671.7 1.16539 -0.0298 48 420 55671.7 0.035041 -0.0925 49 430 55671.7 0.00879185 -0.22 50 436 55671.7 0.00439593 0.436 51 442 55671.7 0.000202974 0.432 52 448 55671.7 2.77743e-005 -0.209 53 457 55671.7 1.83788e-005 1.74 Optimization terminated successfully: Search direction less than 2*options.TolX sigm = 0.07 initial and final parameters 0.01 1.50 0.90 0.10 1.00 3.00 0 -0.09 1.81 0.42 0.15 1.02 3.39 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 7 378.00 19920101.00 24.00 19920306.00 1.00 293.10 9.05 6613.00 19950726.00 15.00 19970815.00 2.00 4.00 0.02 7460.00 19990518.00 25.40 19990922.00 1.00 242.00 8.06 6146.00 19941115.00 6.40 19950302.00 1.00 88.60 10.89 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 3837.00 19951001.00 5.30 19960401.00 1.00 218.50 30.81 1985.00 19990322.00 140.00 19990629.00 1.00 86.20 0.12 2083.00 19960410.00 51.50 19960816.00 1.00 677.90 11.59 1765.00 19970531.00 108.00 19980626.00 1.00 104.00 0.03 5493.00 19981015.00 11.00 20000201.00 2.00 3250.00 186.73 4471.00 19981201.00 5.05 19990923.00 1.00 618.00 59.31 3365.00 19990301.00 63.00 19990929.00 1.00 2100.80 29.97 6787.00 19950321.00 12.00 19971007.00 1.00 38.20 0.01 6787.00 19960321.00 15.15 19971007.00 1.00 38.20 0.01 3859.00 19990115.00 43.55 19990721.00 1.00 1914.60 37.31 6787.00 19930219.00 2.20 19971007.00 1.00 38.20 0.01 6533.00 19990917.00 120.00 20000201.00 1.00 82.90 0.04 3567.00 19931201.00 150.00 19990402.00 2.00 1.25 0.01 2394.00 19971212.00 117.00 19980318.00 1.00 2160.30 17.80 4636.00 19990219.00 159.00 19990505.00 1.00 2970.20 16.08 4471.00 19981115.00 2.40 19990923.00 1.00 618.00 98.61 1531.00 19990401.00 212.00 19990701.00 1.00 3034.10 13.94 1313.00 19990501.00 122.00 19991101.00 2.00 6900.00 56.56 3567.00 19940214.00 260.00 19990402.00 2.00 1.25 0.00 6787.00 19961115.00 20.34 19971007.00 1.00 38.20 0.01 5762.00 19991005.00 38.00 20000306.00 2.00 805.20 21.19 3966.00 19891024.00 10.00 19901001.00 1.00 22.80 0.00 6787.00 19970327.00 26.30 19971007.00 1.00 38.20 0.01 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 2.16 19.08 24.64 19.51 4.13 19.78 3.57 19.79 10.01 19.85 13.54 20.41 6.00 20.94 3.23 21.30 4.20 21.32 12.84 21.77 15.54 22.02 9.72 22.11 6.92 22.54 30.54 24.21 18.54 24.54 6.20 24.55 55.61 25.17 4.47 25.33 64.03 25.45 3.20 25.63 2.54 25.86 10.26 26.41 3.00 26.63 6.00 27.37 61.61 28.12 10.74 30.85 5.03 32.04 11.24 33.60 6.34 36.10 3.34 48.72 5.36 49.10 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % -37.01 NaN delta 1.81 0.00 sig % 84.39 0.35 k % 14.96 0.00 a 1.02 0.01 b 3.39 0.00 pim * 100 NaN NaN c 0.95 d 0.48 log likelyhood -55671.73 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) -13.70 88.63 Implied mean and sd of return levels (annualized) 26.41 99.32 alpha 0.00 beta 1.86 Continuous time alpha (q) (a) (in percent) 0.06 0.24 correlation matrix of estimated parameters 1.00 0.17 0.42 -0.98 0.62 0.17 1.00 -0.30 -0.00 -0.64 0.42 -0.30 1.00 -0.45 0.55 -0.98 -0.00 -0.45 1.00 -0.76 0.62 -0.64 0.55 -0.76 1.00 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 202