*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date Index = S&P500 merging all rounds together Results for health industry Includes Biopharmaceuticals, Healthcare, Medical Devices, Medical IS and Other Medical. 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 = 3984.00 elminated observations with unknown fate: 0 Eliminated observations with >100% or <0% shareholder value 58.00 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. 10.00 If out date is before or equal to begin date, treat out date as missing. This affects 7.00 Relabeling all ipo, acquisition or new round with zero return as out of business. This affects 23.00 deleting observations with > 300x returns. 0 deleting observations with log annualized return greater than 15 1.00 Remaining data: 3915.00 Note: following refers to round, not company. Round may end in another round, though company eventually goes public Percent bankrupt 8.97 Percent ipo 27.15 Percent acquired 17.98 Percent with subsequent round 0 Percent Private 42.48 Percent Ipo registered 3.42 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 96.30 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 51.18 Directional Iteration Func-count f(x) Step-size derivative 1 7 15828.7 0.001 -3.93e+007 2 18 15828.7 1e-011 -3.93e+007 3 30 14097.4 3.83471e-005 -2.6e+006 4 41 13992.3 1.61636e-005 -2.26e+003 5 53 13929.2 0.000124261 -88.5 6 66 13886.9 0.00548714 -4.04e+003 7 78 13876.9 0.0411524 -8.8 8 89 13864.5 0.0237847 -180 9 101 13849.4 0.670635 -1.29 10 112 13844.2 0.681194 -0.0239 11 123 13842.7 0.569748 -0.187 12 134 13842.7 0.71158 -0.000109 13 145 13842.6 1.27006 -5.91e-007 14 157 13842.5 2.99935 0.000485 15 169 13842.2 3.07034 -0.000231 16 181 13813.1 63.2061 -0.0131 17 192 13808.5 0.109302 -41.7 18 204 13716.1 0.556831 -4.33 19 215 13707.6 0.896751 -0.0879 20 227 13694.6 1.82245 -0.0646 21 239 13684.2 3.41463 0.0116 22 250 13680.9 0.698366 0.165 23 262 13678.5 1.54946 -0.319 24 273 13677.6 0.913017 0.0029 25 284 13677.4 0.948365 2.13e-005 26 295 13677.4 0.903012 0.000251 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 0.01 0.02 0.17 0.34 0.36 0.71 5.06 0.08 chi2 tests. NOTE NO MINIMIZATION OVER OTHER PARAMETERS YET test for gamma = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 109.53 3.84 14.07 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 5.16 3.84 14.07 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 156.57 5.99 14.07 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 5629.00 19940110.00 16.50 19950701.00 2.00 1.80 0.11 17.70 11.61 2737.00 19930607.00 31.60 19960730.00 1.00 23.40 0.14 37.76 11.61 6787.00 19960321.00 15.15 19971007.00 1.00 38.20 0.01 18.54 11.64 1269.00 19941031.00 10.00 19961001.00 2.00 0.50 0.05 23.01 11.64 1344.00 19940727.00 35.30 19970211.00 2.00 4.00 0.09 30.47 11.65 5741.00 19951101.00 37.80 19980528.00 1.00 18.60 0.07 30.89 11.65 1365.00 19961201.00 50.00 19970702.00 1.00 39.80 0.13 7.03 11.66 6787.00 19961115.00 20.34 19971007.00 1.00 38.20 0.01 10.74 11.66 5398.00 19950817.00 16.00 19990720.00 2.00 2.50 0.16 47.10 11.67 1344.00 19960209.00 73.90 19970211.00 2.00 4.00 0.05 12.07 11.67 6787.00 19950321.00 12.00 19971007.00 1.00 38.20 0.01 30.54 11.67 6787.00 19970327.00 26.30 19971007.00 1.00 38.20 0.01 6.34 11.68 4156.00 19960627.00 31.50 19970218.00 1.00 15.00 0.13 7.70 11.68 7503.00 19970807.00 10.44 19971029.00 1.00 68.60 4.58 2.72 11.70 6787.00 19970627.00 40.20 19971007.00 1.00 38.20 0.01 3.34 11.71 2737.00 19960122.00 64.70 19960730.00 1.00 23.40 0.11 6.26 11.71 4082.00 19920331.00 55.00 19950503.00 2.00 4.00 0.07 37.08 11.72 3364.00 20000115.00 144.00 20000324.00 1.00 162.80 0.26 2.30 11.72 5488.00 19960116.00 28.80 19960627.00 1.00 1607.10 54.61 5.36 11.74 46.00 19991201.00 90.00 20000321.00 1.00 723.70 5.63 3.66 11.74 1269.00 19920814.00 7.20 19961001.00 2.00 0.50 0.03 49.57 11.89 5398.00 19931231.00 11.90 19990720.00 2.00 2.50 0.16 66.64 11.93 4082.00 19901015.00 40.00 19950503.00 2.00 4.00 0.09 54.61 11.94 5741.00 19930501.00 14.50 19980528.00 1.00 18.60 0.13 60.89 11.94 6787.00 19930219.00 2.20 19971007.00 1.00 38.20 0.01 55.61 11.98 1269.00 19920201.00 6.70 19961001.00 2.00 0.50 0.03 56.00 11.99 5741.00 19920625.00 10.20 19980528.00 1.00 18.60 0.13 71.10 12.22 2923.00 19920901.00 9.70 19980731.00 2.00 0.90 0.09 70.99 12.27 4082.00 19880601.00 20.00 19950503.00 2.00 4.00 0.13 83.07 12.46 5741.00 19910501.00 7.00 19980528.00 1.00 18.60 0.13 84.89 12.48 2196.00 19870201.00 13.70 19960711.00 2.00 6.80 0.17 113.33 13.05 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % 8.68 1.72 delta 0.17 0.14 sig % 67.03 1.39 k % 35.80 2.06 a 0.71 0.03 b 5.06 0.19 pim * 100 7.85 1.19 c 0.96 d 0.51 log likelyhood -13677.40 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 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) 17.01 67.08 Implied mean and sd of return levels (annualized) 41.52 76.17 alpha 32.80 beta 0.18 Continuous time alpha (q) (a) (in percent) 7.75 30.99 correlation matrix of estimated parameters 1.00 -0.74 -0.18 0.32 -0.21 0.24 0.11 -0.74 1.00 -0.06 0.14 -0.20 0.21 0.03 -0.18 -0.06 1.00 -0.75 0.63 -0.66 -0.26 0.32 0.14 -0.75 1.00 -0.86 0.91 0.28 -0.21 -0.20 0.63 -0.86 1.00 -0.98 -0.21 0.24 0.21 -0.66 0.91 -0.98 1.00 0.24 0.11 0.03 -0.26 0.28 -0.21 0.24 1.00 NOTE: Doit3 is incrementing tablerow