*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date Index = S&P500 Results for round 2.00 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 = 4531.00 elminated observations with unknown fate: 0 Eliminated observations with >100% or <0% shareholder value 29.00 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. 27.00 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 10.00 deleting observations with > 300x returns. 0 deleting observations with log annualized return greater than 15 1.00 Remaining data: 4474.00 Note: following refers to round, not company. Round may end in another round, though company eventually goes public Percent bankrupt 9.12 Percent ipo 21.32 Percent acquired 20.76 Percent with subsequent round 0 Percent Private 44.90 Percent Ipo registered 3.89 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 96.81 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 49.25 Directional Iteration Func-count f(x) Step-size derivative 1 7 16173.4 0.00100265 -3.23e+007 2 18 15523.2 2.44413e-005 -2.04e+007 3 29 15206.5 2.34105e-005 -5.93e+005 4 41 15196.7 0.000132005 10 5 55 15183.4 0.00947094 -990 6 66 15167 0.0102949 -327 7 77 15081.6 0.0183671 259 8 88 14694 0.195877 -64.5 9 100 14654.2 0.636754 1.23 10 111 14652.3 0.24015 -0.141 11 122 14646.1 0.395411 -0.997 12 134 14643 1.18274 0.0784 13 146 14642.1 3.51586 -0.0146 14 157 14641.5 1.49289 0.0186 15 168 14641.4 0.979388 1.73e-006 16 179 14641.4 1.06364 -0.000565 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 -0.00 0.77 0.48 0.16 1.04 3.55 0.05 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) 2.22 3.84 14.07 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 75.97 3.84 14.07 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 55.88 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 1612.00 19960515.00 10.70 19981224.00 2.00 2.00 0.12 31.30 11.42 5398.00 19950817.00 16.00 19990720.00 2.00 2.50 0.16 47.10 11.47 2096.00 19950215.00 12.20 19990723.00 2.00 5.50 0.17 53.26 11.49 1584.00 19951001.00 82.66 19970801.00 1.00 68.30 0.10 22.00 11.54 1885.00 19891106.00 35.00 19940726.00 2.00 5.80 0.15 56.66 11.57 6225.00 19990201.00 41.00 19990528.00 2.00 286.20 6.98 3.89 11.62 635.00 19891101.00 37.00 19941101.00 2.00 20.00 0.15 60.00 11.64 772.00 19970131.00 38.40 19970411.00 1.00 323.90 7.60 2.34 11.64 6529.00 19880131.00 12.70 19901228.00 2.00 1.40 0.10 34.90 11.66 6860.00 19981215.00 111.00 19990409.00 1.00 2003.10 16.74 3.80 11.67 2386.00 19951101.00 6.50 19960403.00 1.00 183.10 16.47 5.07 11.71 6718.00 19981208.00 9.52 20000120.00 2.00 756.50 79.46 13.39 11.71 3536.00 19960805.00 32.80 19990624.00 1.00 9637.60 291.01 34.62 11.97 5493.00 19990331.00 68.21 20000201.00 2.00 3250.00 47.65 10.01 12.02 6787.00 19950321.00 12.00 19971007.00 1.00 38.20 0.01 30.54 12.03 4471.00 19981201.00 5.05 19990923.00 1.00 618.00 59.31 9.72 12.09 3837.00 19951001.00 5.30 19960401.00 1.00 218.50 30.81 6.00 12.11 2694.00 19900501.00 16.40 19901129.00 2.00 1.80 0.11 6.92 12.15 2040.00 19921201.00 16.75 19980624.00 2.00 5.94 0.12 66.76 12.20 4636.00 19990219.00 159.00 19990505.00 1.00 2970.20 16.08 2.54 12.22 2083.00 19960410.00 51.50 19960816.00 1.00 677.90 11.59 4.20 12.24 5488.00 19960116.00 28.80 19960627.00 1.00 1607.10 54.61 5.36 12.24 5762.00 19991005.00 38.00 20000306.00 2.00 805.20 21.19 5.03 12.26 4082.00 19901015.00 40.00 19950503.00 2.00 4.00 0.09 54.61 12.26 2773.00 19950817.00 16.50 19990607.00 2.00 0.41 0.02 45.67 12.32 4191.00 19921101.00 10.00 19990518.00 2.00 1.50 0.14 78.56 12.38 4508.00 19891101.00 26.00 19990929.00 1.00 90.80 0.22 118.92 12.52 5741.00 19910501.00 7.00 19980528.00 1.00 18.60 0.13 84.89 12.66 3567.00 19931201.00 150.00 19990402.00 2.00 1.25 0.01 64.03 12.85 6533.00 19921207.00 21.30 20000201.00 1.00 82.90 0.11 85.80 12.86 998.00 19880401.00 17.80 19971107.00 1.00 24.80 0.07 115.20 13.94 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % -1.61 2.36 delta 0.77 0.20 sig % 96.88 2.28 k % 15.67 1.18 a 1.04 0.06 b 3.55 0.16 pim * 100 4.97 1.24 c 0.97 d 0.49 log likelyhood -14641.39 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) 12.21 97.56 Implied mean and sd of return levels (annualized) 64.51 120.38 alpha 48.61 beta 0.86 Continuous time alpha (q) (a) (in percent) 11.28 45.12 correlation matrix of estimated parameters 1.00 -0.80 -0.16 0.26 0.03 0.00 0.15 -0.80 1.00 -0.00 0.06 -0.12 0.13 -0.04 -0.16 -0.00 1.00 -0.80 -0.27 0.27 -0.43 0.26 0.06 -0.80 1.00 0.08 -0.06 0.43 0.03 -0.12 -0.27 0.08 1.00 -0.98 0.24 0.00 0.13 0.27 -0.06 -0.98 1.00 -0.21 0.15 -0.04 -0.43 0.43 0.24 -0.21 1.00 NOTE: Doit3 is incrementing tablerow