*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date Index = S&P500 merging all rounds together Results for other industry 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 = 442.00 elminated observations with unknown fate: 0 Eliminated observations with >100% or <0% shareholder value 0 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. 0 If out date is before or equal to begin date, treat out date as missing. This affects 0 Relabeling all ipo, acquisition or new round with zero return as out of business. This affects 0 deleting observations with > 300x returns. 0 deleting observations with log annualized return greater than 15 0 Remaining data: 442.00 Note: following refers to round, not company. Round may end in another round, though company eventually goes public Percent bankrupt 11.76 Percent ipo 21.95 Percent acquired 28.73 Percent with subsequent round 0 Percent Private 36.88 Percent Ipo registered 0.68 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 94.23 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 26.43 Directional Iteration Func-count f(x) Step-size derivative 1 7 1780.51 0.00414776 -8.59e+005 2 18 1683.93 0.000128281 -6.39e+005 3 29 1623.74 0.000152034 -2.54e+004 4 41 1622.44 0.00181747 -3.69 5 53 1608.66 0.0484663 -158 6 64 1555.51 0.152377 -14.2 7 75 1551.86 0.00139844 -2.61e+003 8 86 1548.9 0.000315698 -9.36e+003 9 94 1499.38 0.00747798 -3.26e+003 10 106 1479.75 0.519688 0.608 11 117 1471.91 0.33345 0.218 12 128 1468.59 0.629211 0.0308 13 140 1465.19 1.92502 -0.202 14 151 1460.87 0.673926 -0.187 15 162 1458.27 1.41465 0.0324 16 173 1457.41 0.614187 0.046 17 184 1456.99 0.829634 0.0691 18 195 1456.83 0.641736 0.0489 19 207 1456.73 1.07122 -0.011 20 219 1456.67 3.03523 0.000313 21 231 1456.46 5.30414 0.0113 22 242 1455.86 2.32003 -0.00536 23 253 1455.12 1.59316 0.00436 24 264 1454.52 1.31904 -0.00993 25 275 1453.89 1.00386 0.0409 26 286 1453.37 1.03065 0.00869 27 298 1452.73 1.94844 -0.0124 28 310 1451.85 4.42737 0.0357 29 321 1451.73 0.339329 -9.58e-006 30 332 1451.4 0.509 -0.519 31 343 1451.4 0.000397363 -0.869 32 354 1451.39 0.0183381 -0.498 33 365 1451.39 0.000219561 -1.31 34 373 1451.39 0.000109781 -1.31 35 387 1451.37 0.127556 -0.181 36 398 1451.37 0.000288414 -1.03 37 409 1451.36 0.010182 -0.306 38 420 1451.36 0.000347571 -1.17 39 431 1451.35 0.00831039 -1.87 40 442 1451.35 0.000176516 -1.34 41 453 1451.33 0.00904937 -2 42 464 1451.33 0.000176123 -1.26 43 475 1451.33 0.00604386 -0.294 44 486 1451.33 4.46291e-005 -3.38 45 499 1451.31 0.0841937 -0.164 46 510 1451.31 0.00015257 -1.23 47 518 1451.31 7.6285e-005 -1.23 48 532 1451.3 0.102516 -0.0982 49 543 1451.3 0.000526827 -0.833 50 554 1451.27 0.0260194 -1.32 51 565 1451.27 0.000320488 -1.09 52 576 1451.27 5.36347e-005 -1.21 53 584 1451.27 2.68174e-005 -1.21 54 595 1451.27 0.00164483 -0.0932 55 606 1451.27 0.00494949 -0.298 56 617 1451.27 8.80316e-005 -1.3 57 628 1451.26 0.000478864 -0.408 58 639 1451.26 0.000212313 -0.346 59 650 1451.26 0.00686484 -0.281 60 661 1451.26 7.52439e-005 -1.77 61 672 1451.26 0.00456792 -0.232 62 683 1451.26 0.00016781 -0.89 63 691 1451.26 0.00329126 -0.888 64 702 1451.26 1.99404e-005 -1.59 65 714 1451.26 0.000393134 -0.0834 66 722 1451.26 0.000196567 -0.0834 67 733 1451.26 0.00099507 -0.104 68 744 1451.26 0.00300021 -0.274 69 755 1451.26 1.95976e-005 -1.25 70 767 1451.26 0.000225539 -0.053 71 775 1452.39 0.0117267 254 72 783 1451.26 4.42673e-006 -0.0529 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 0.56 0.31 0.53 0.37 10.00 0.13 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) 29.49 3.84 14.07 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 5.79 3.84 14.07 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 60.14 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 6781.00 19910801.00 3.30 19950823.00 1.00 114.10 7.40 48.72 8.79 2224.00 19891001.00 15.00 19911107.00 1.00 31.50 0.85 25.20 8.83 7495.00 19881101.00 2.00 19930325.00 1.00 18.90 2.16 52.79 8.87 635.00 19930826.00 5.50 19941101.00 2.00 20.00 3.64 14.18 8.88 6781.00 19900801.00 1.70 19950823.00 1.00 114.10 10.01 60.72 8.92 1371.00 19910821.00 35.00 19911211.00 1.00 105.00 2.07 3.67 8.94 6781.00 19950501.00 34.00 19950823.00 1.00 114.10 2.05 3.72 8.95 622.00 19950115.00 27.50 19980213.00 1.00 51.40 1.17 36.93 8.97 4364.00 19920115.00 1.50 19971126.00 1.00 90.50 19.96 70.36 9.20 3650.00 19891115.00 8.70 19960215.00 1.00 122.40 3.54 75.00 9.23 6446.00 19890201.00 8.00 19950302.00 2.00 20.00 2.50 73.03 9.33 7221.00 19960216.00 30.21 19991208.00 2.00 34.30 1.14 45.74 9.34 635.00 19930330.00 2.40 19941101.00 2.00 20.00 6.06 19.05 9.36 622.00 19940115.00 26.00 19980213.00 1.00 51.40 1.23 48.93 9.38 1758.00 19900515.00 9.80 19940322.00 1.00 15.20 0.87 46.23 9.40 3650.00 19880415.00 3.00 19960215.00 1.00 122.40 6.73 94.00 9.43 4364.00 19891201.00 0.50 19971126.00 1.00 90.50 27.94 95.82 9.55 4992.00 19980702.00 9.00 20000505.00 1.00 167.70 10.14 22.10 10.00 7221.00 19920928.00 10.90 19991208.00 2.00 34.30 2.11 86.34 10.00 6406.00 19951001.00 2.21 19991118.00 1.00 401.60 42.36 49.56 10.11 2024.00 19900701.00 6.17 19910101.00 2.00 2.90 0.47 6.00 10.35 6627.00 19870101.00 3.10 19960620.00 1.00 92.50 1.65 113.62 10.69 3398.00 19921115.00 14.00 19961001.00 1.00 12.80 0.50 46.54 10.71 3398.00 19920601.00 13.50 19961001.00 1.00 12.80 0.49 52.00 10.89 907.00 19910409.00 10.30 19920310.00 1.00 88.40 5.55 11.03 10.93 1758.00 19870901.00 10.00 19940322.00 1.00 15.20 0.51 78.69 11.34 7362.00 19940601.00 11.20 19960307.00 2.00 2.20 0.20 21.20 11.83 3966.00 19891024.00 10.00 19901001.00 1.00 22.80 0.00 11.24 12.03 7362.00 19920201.00 8.20 19960307.00 2.00 2.20 0.19 49.20 12.13 635.00 19891101.00 37.00 19941101.00 2.00 20.00 0.15 60.00 12.32 635.00 19890201.00 31.00 19941101.00 2.00 20.00 0.16 69.00 12.38 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % 12.80 3.51 delta 0.56 0.26 sig % 61.14 4.64 k % 53.42 7.52 a 0.37 0.01 b 10.00 0.14 pim * 100 13.36 4.61 c 0.94 d 0.26 log likelyhood -1451.26 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) 24.69 61.70 Implied mean and sd of return levels (annualized) 46.20 70.50 alpha 33.07 beta 0.59 Continuous time alpha (q) (a) (in percent) 7.80 31.22 correlation matrix of estimated parameters 1.00 -0.59 -0.12 0.38 -0.14 0.43 -0.07 -0.59 1.00 0.02 0.04 0.12 -0.03 0.34 -0.12 0.02 1.00 -0.81 0.52 -0.63 -0.36 0.38 0.04 -0.81 1.00 -0.53 0.87 0.32 -0.14 0.12 0.52 -0.53 1.00 -0.63 -0.40 0.43 -0.03 -0.63 0.87 -0.63 1.00 0.49 -0.07 0.34 -0.36 0.32 -0.40 0.49 1.00 NOTE: Doit3 is incrementing tablerow