*************************************************************************************************** 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 6 60107.6 0.001 -4.84e+008 2 16 60107.6 1e-011 -4.84e+008 3 23 60107.6 5e-012 -4.84e+008 4 30 60104.4 6.55936e-009 -4.84e+008 5 41 58676.7 6.16767e-006 -3.52e+006 6 53 56484.2 0.000233166 -2.87e+006 7 63 56370.8 2.99819e-005 1.1e+006 8 75 56367 0.000861579 205 9 85 56238.1 0.00101162 1.85e+004 10 96 54452.5 1.29037 82.5 11 106 54287.7 0.581264 -3.3 12 117 54174.8 2.42512 0.599 13 127 54101.2 1.38594 1.49 14 138 54043.3 2.15449 -0.421 15 148 54029.4 1.55051 0.35 16 158 54026.1 1 0.23 17 170 54025.3 3.5405 0.0462 18 180 54025 1.0704 -0.000319 19 190 54024.7 0.761693 0.00467 20 202 54024.4 9.77002 0.0044 21 213 54022.8 6.34221 -0.0393 22 223 54022.6 0.500076 -0.0374 23 233 54022.5 0.841273 0.011 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 -0.01 0.94 0.57 0.10 0.61 5.76 NaN 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) 35.90 3.84 12.59 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 281.66 3.84 12.59 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 145.21 5.99 12.59 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 3837.00 19951001.00 5.30 19960401.00 1.00 218.50 30.81 6.00 14.00 998.00 19900101.00 28.30 19971107.00 1.00 24.80 0.05 94.20 14.02 4471.00 19981201.00 5.05 19990923.00 1.00 618.00 59.31 9.72 14.03 2083.00 19960410.00 51.50 19960816.00 1.00 677.90 11.59 4.20 14.28 3365.00 19990301.00 63.00 19990929.00 1.00 2100.80 29.97 6.92 14.45 4191.00 19900207.00 16.80 19990518.00 2.00 1.50 0.05 111.36 14.52 1269.00 19920814.00 7.20 19961001.00 2.00 0.50 0.03 49.57 14.70 1269.00 19920201.00 6.70 19961001.00 2.00 0.50 0.03 56.00 14.83 2773.00 19950817.00 16.50 19990607.00 2.00 0.41 0.02 45.67 15.08 1145.00 19951222.00 31.60 19980914.00 2.00 0.62 0.02 32.74 15.14 1985.00 19990322.00 140.00 19990629.00 1.00 86.20 0.12 3.23 15.33 6613.00 19950726.00 15.00 19970815.00 2.00 4.00 0.02 24.64 15.37 3859.00 19990115.00 43.55 19990721.00 1.00 1914.60 37.31 6.20 15.44 4471.00 19981115.00 2.40 19990923.00 1.00 618.00 98.61 10.26 16.07 1765.00 19970531.00 108.00 19980626.00 1.00 104.00 0.03 12.84 16.27 1531.00 19990401.00 212.00 19990701.00 1.00 3034.10 13.94 3.00 16.43 4636.00 19990219.00 159.00 19990505.00 1.00 2970.20 16.08 2.54 16.95 1313.00 19990501.00 122.00 19991101.00 2.00 6900.00 56.56 6.00 17.20 2394.00 19971212.00 117.00 19980318.00 1.00 2160.30 17.80 3.20 17.24 6533.00 19990917.00 120.00 20000201.00 1.00 82.90 0.04 4.47 17.77 6787.00 19960321.00 15.15 19971007.00 1.00 38.20 0.01 18.54 18.58 6787.00 19950321.00 12.00 19971007.00 1.00 38.20 0.01 30.54 18.76 5762.00 19991005.00 38.00 20000306.00 2.00 805.20 21.19 5.03 19.87 6787.00 19930219.00 2.20 19971007.00 1.00 38.20 0.01 55.61 19.91 3567.00 19931201.00 150.00 19990402.00 2.00 1.25 0.01 64.03 20.21 6787.00 19961115.00 20.34 19971007.00 1.00 38.20 0.01 10.74 21.66 3567.00 19940214.00 260.00 19990402.00 2.00 1.25 0.00 61.61 21.99 6787.00 19970327.00 26.30 19971007.00 1.00 38.20 0.01 6.34 24.12 3966.00 19891024.00 10.00 19901001.00 1.00 22.80 0.00 11.24 24.52 5488.00 19960116.00 28.80 19960627.00 1.00 1607.10 54.61 5.36 28.99 6787.00 19970627.00 40.20 19971007.00 1.00 38.20 0.01 3.34 31.26 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % -4.03 1.12 delta 0.94 0.08 sig % 114.01 1.08 k % 10.46 0.37 a 0.61 0.02 b 5.76 0.17 pim * 100 NaN NaN c 0.95 d 0.48 log likelyhood -54022.49 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) 11.37 114.88 Implied mean and sd of return levels (annualized) 85.35 151.73 alpha 66.93 beta 1.10 Continuous time alpha (q) (a) (in percent) 15.23 60.90 correlation matrix of estimated parameters 1.00 -0.72 0.05 0.33 -0.26 0.30 -0.72 1.00 -0.02 -0.02 0.00 -0.01 0.05 -0.02 1.00 -0.57 -0.40 0.41 0.33 -0.02 -0.57 1.00 -0.03 0.07 -0.26 0.00 -0.40 -0.03 1.00 -0.99 0.30 -0.01 0.41 0.07 -0.99 1.00 NOTE: Doit3 is incrementing tablerow