*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date Index = S&P500 merging all rounds together Results for retail and cons/bus prod/services industry Includes Consumer Products, Consumer Services, Retailers 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 = 3138.00 elminated observations with unknown fate: 0 Eliminated observations with >100% or <0% shareholder value 5.00 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. 40.00 If out date is before or equal to begin date, treat out date as missing. This affects 2.00 Relabeling all ipo, acquisition or new round with zero return as out of business. This affects 0 deleting observations with > 300x returns. 1.00 deleting observations with log annualized return greater than 15 1.00 Remaining data: 3091.00 Note: following refers to round, not company. Round may end in another round, though company eventually goes public Percent bankrupt 7.09 Percent ipo 15.21 Percent acquired 9.51 Percent with subsequent round 0 Percent Private 63.22 Percent Ipo registered 4.98 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 95.89 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 38.02 Directional Iteration Func-count f(x) Step-size derivative 1 7 7293.03 0.00132083 -1.1e+007 2 18 6935.2 3.95942e-005 -6.82e+006 3 29 6699.15 5.98293e-005 -6.72e+004 4 41 6691.54 0.000312118 -55 5 55 6670.67 0.010742 58.5 6 67 6639.74 0.0515807 -17.2 7 78 6580.98 0.0224771 -265 8 90 6433.52 0.287905 -9.36 9 102 6421.7 0.666941 -0.429 10 113 6419.03 0.196533 1.6 11 125 6406.14 3.12598 -0.624 12 136 6398.79 3.2601 -0.183 13 147 6393.81 1.58838 -0.241 14 158 6389.48 0.665325 -0.117 15 169 6386.36 1.1095 -0.136 16 181 6382.74 2.59023 -0.0528 17 192 6381.49 1.04054 0.0108 18 203 6377.88 1 -2.59 19 214 6377.85 0.00345965 -10.1 20 222 6377.83 0.00172982 -9.93 21 237 6375.32 2.16745 -0.385 22 248 6375.21 0.0485796 -2.18 23 256 6374.01 0.607972 -1.85 24 267 6374.01 8.20237e-005 -22.1 25 275 6374.01 4.10118e-005 -21.7 26 291 6372.36 1.48524 0.00619 27 303 6372.1 2.90449 -0.0249 28 314 6372.1 0.00388169 -0.145 29 325 6372.07 0.0116601 -2.22 30 336 6372.03 0.035998 -1.1 31 347 6372.02 0.00407274 -1.59 32 355 7261.46 0.123934 3.06e+004 33 363 6371.95 0.0461364 -1.53 34 374 6371.94 0.00893518 -1.85 35 382 8566.21 0.0864087 5.59e+004 36 390 6371.94 1.97665e-006 -1.8 37 405 6371.93 0.0424865 -0.242 38 416 6371.92 0.0084246 -0.465 39 427 6371.91 0.0124383 -0.991 40 438 6371.91 0.00108405 -0.848 41 451 6371.9 0.0473391 -0.078 42 462 6371.9 0.00663464 -0.357 43 473 6371.9 0.00520987 -0.302 44 484 6371.9 0.00061949 -1.18 45 492 6371.9 0.000309745 -1.18 46 503 6371.9 0.0353058 -0.0681 47 511 6371.9 0.0176529 -0.0668 48 522 6371.9 0.00621436 -0.0649 49 530 6372.02 0.0545893 4.85 50 538 6371.9 0.000397975 -0.0651 51 546 6371.9 0.00650346 0.415 52 554 6371.9 0.000832335 -0.0649 53 565 6371.9 0.00182558 -0.0601 54 578 6371.79 2.82042 0.0133 55 591 6371.72 3.58734 -0.00256 56 602 6371.7 1.25471 1.09e-005 57 614 6371.67 2.24847 0.000168 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 0.03 -0.08 0.64 0.11 0.35 10.00 0.03 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) 22.43 3.84 14.07 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 0.31 3.84 14.07 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 18.88 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 2591.00 19990901.00 265.00 19991209.00 1.00 1629.80 5.40 3.26 10.12 5788.00 19960301.00 26.61 19990521.00 1.00 34.70 0.18 38.66 10.14 729.00 19980701.00 13.30 20000229.00 1.00 1393.90 61.04 19.92 10.19 7605.00 19980605.00 62.00 19990519.00 1.00 2068.40 29.73 11.46 10.21 2657.00 19880101.00 30.00 19950516.00 1.00 36.90 0.78 88.49 10.34 3640.00 19940401.00 28.00 19990715.00 2.00 11.71 0.31 63.46 10.34 3153.00 19920701.00 28.10 19970212.00 2.00 6.70 0.23 55.36 10.37 3134.00 19880601.00 8.23 19970918.00 1.00 64.00 3.63 111.56 10.37 3640.00 19930514.00 20.00 19990715.00 2.00 11.71 0.40 74.03 10.44 2807.00 19930601.00 0.50 19940713.00 1.00 81.80 52.46 13.39 10.44 3640.00 19921006.00 12.20 19990715.00 2.00 11.71 0.43 81.30 10.52 729.00 19990201.00 25.20 20000229.00 1.00 1393.90 36.41 12.92 10.54 1685.00 19880401.00 6.90 19970813.00 1.00 32.50 1.74 112.39 10.58 594.00 19981231.00 8.50 19990922.00 1.00 244.30 13.50 8.70 10.63 3134.00 19870501.00 6.68 19970918.00 1.00 64.00 4.06 124.56 10.64 4811.00 19990930.00 101.00 20000301.00 1.00 1655.80 13.70 5.05 10.67 3153.00 19910501.00 25.20 19970212.00 2.00 6.70 0.22 69.36 10.76 7605.00 19971201.00 11.00 19990519.00 1.00 2068.40 100.00 17.59 10.83 6039.00 19990831.00 50.00 20000103.00 2.00 733.30 14.67 4.08 10.93 3153.00 19890712.00 20.00 19970212.00 2.00 6.70 0.22 91.00 11.29 4811.00 19990324.00 17.00 20000301.00 1.00 1655.80 61.24 11.24 11.40 7460.00 19990518.00 25.40 19990922.00 1.00 242.00 8.06 4.13 11.53 3150.00 19990401.00 55.00 19990826.00 1.00 33.30 0.17 4.82 11.79 378.00 19920101.00 24.00 19920306.00 1.00 293.10 9.05 2.16 11.89 5689.00 19960815.00 750.00 19990630.00 2.00 25.00 0.03 34.49 12.34 2083.00 19960410.00 51.50 19960816.00 1.00 677.90 11.59 4.20 12.45 998.00 19870301.00 5.55 19971107.00 1.00 24.80 0.17 128.20 12.53 998.00 19900101.00 28.30 19971107.00 1.00 24.80 0.05 94.20 13.16 998.00 19880401.00 17.80 19971107.00 1.00 24.80 0.07 115.20 13.26 3567.00 19940214.00 260.00 19990402.00 2.00 1.25 0.00 61.61 13.56 3567.00 19931201.00 150.00 19990402.00 2.00 1.25 0.01 64.03 13.61 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % 11.08 1.89 delta -0.08 0.08 sig % 127.30 3.49 k % 10.74 1.27 a 0.35 0.00 b 10.00 0.00 pim * 100 2.87 1.20 c 0.96 d 0.38 log likelyhood -6371.67 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) 17.16 127.31 Implied mean and sd of return levels (annualized) 111.31 180.70 alpha 105.47 beta -0.10 Continuous time alpha (q) (a) (in percent) 23.05 92.21 correlation matrix of estimated parameters 1.00 0.53 -0.47 0.55 0.16 -0.48 0.25 0.53 1.00 -0.83 0.99 0.42 -0.57 0.46 -0.47 -0.83 1.00 -0.82 -0.23 0.62 -0.45 0.55 0.99 -0.82 1.00 0.36 -0.57 0.45 0.16 0.42 -0.23 0.36 1.00 0.11 0.33 -0.48 -0.57 0.62 -0.57 0.11 1.00 -0.19 0.25 0.46 -0.45 0.45 0.33 -0.19 1.00 NOTE: Doit3 is incrementing tablerow