*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date Index = nasdaq 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 Nasdaq 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 7 60281.2 0.001 -5.72e+008 2 18 60281.1 1e-011 -5.72e+008 3 26 60281.1 5e-012 -5.72e+008 4 37 57612.8 2.00925e-005 -3.99e+005 5 48 54741.3 1.13656e-005 -2.41e+007 6 60 54347.3 4.07965e-005 1.39e+004 7 72 54185.1 0.00169474 -7.2e+003 8 84 54184.9 0.000262241 -884 9 97 54184.9 3.13891e-006 -3.59e+003 10 114 54139.6 0.123649 -103 11 125 54071 0.213831 -1.66 12 136 54057.3 0.349668 -1.65 13 148 54043.6 3.16183 -0.218 14 159 54016.2 3.30786 -0.0651 15 170 54004.6 2.08261 0.134 16 181 54003 1.46656 0.0642 17 193 54002.5 1.6792 -0.00578 18 205 54000.3 7.38434 0.00545 19 217 53995.6 3.15164 0.011 20 229 53994.2 1.54764 -0.339 21 240 53994 0.213903 0.048 22 252 53993.7 1.6761 0.0131 23 264 53992.8 9.89403 0.000929 24 276 53968.9 24.0255 -0.00306 25 287 53667 9.34521 -12.2 26 298 53606.9 0.894615 40.6 27 309 53581.2 0.476137 -0.073 28 321 53573.9 1.47473 -1.66 29 332 53572.1 1.03237 0.00618 30 343 53571.8 1.04184 0.00974 31 355 53571.5 3.74703 0.0258 32 366 53571.5 0.801881 0.00763 33 377 53571.5 0.801881 0.00717 Optimization terminated successfully: Search direction less than 2*options.TolX initial and final parameters 0.01 1.50 0.90 0.10 1.00 3.00 0.01 -0.02 1.22 0.47 0.20 0.72 5.03 0.06 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) 182.26 3.84 14.07 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 1553.82 3.84 14.07 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 891.25 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 3150.00 19990401.00 55.00 19990826.00 1.00 33.30 0.17 4.82 12.12 4082.00 19901015.00 40.00 19950503.00 2.00 4.00 0.09 54.61 12.12 1267.00 19950901.00 5.00 19951130.00 2.00 41.60 8.32 2.95 12.13 2083.00 19960410.00 51.50 19960816.00 1.00 677.90 11.59 4.20 12.13 1145.00 19951222.00 31.60 19980914.00 2.00 0.62 0.02 32.74 12.14 5741.00 19920625.00 10.20 19980528.00 1.00 18.60 0.13 71.10 12.14 1531.00 19990401.00 212.00 19990701.00 1.00 3034.10 13.94 3.00 12.15 6874.00 19900401.00 52.50 19930701.00 2.00 2.70 0.04 39.00 12.16 1295.00 19911130.00 23.50 19980701.00 2.00 2.90 0.12 79.05 12.18 378.00 19920101.00 24.00 19920306.00 1.00 293.10 9.05 2.16 12.22 4191.00 19921101.00 10.00 19990518.00 2.00 1.50 0.14 78.56 12.23 4082.00 19880601.00 20.00 19950503.00 2.00 4.00 0.13 83.07 12.25 2040.00 19911201.00 11.75 19980624.00 2.00 5.94 0.12 78.76 12.26 4191.00 19930319.00 12.40 19990518.00 2.00 1.50 0.12 73.97 12.28 3966.00 19891024.00 10.00 19901001.00 1.00 22.80 0.00 11.24 12.30 1269.00 19920814.00 7.20 19961001.00 2.00 0.50 0.03 49.57 12.38 2923.00 19920901.00 9.70 19980731.00 2.00 0.90 0.09 70.99 12.40 4508.00 19891101.00 26.00 19990929.00 1.00 90.80 0.22 118.92 12.40 5741.00 19910501.00 7.00 19980528.00 1.00 18.60 0.13 84.89 12.44 3567.00 19940214.00 260.00 19990402.00 2.00 1.25 0.00 61.61 12.49 6787.00 19930219.00 2.20 19971007.00 1.00 38.20 0.01 55.61 12.52 1269.00 19920201.00 6.70 19961001.00 2.00 0.50 0.03 56.00 12.52 1885.00 19890101.00 50.00 19940726.00 2.00 5.80 0.07 66.82 12.52 3567.00 19931201.00 150.00 19990402.00 2.00 1.25 0.01 64.03 12.55 2196.00 19870201.00 13.70 19960711.00 2.00 6.80 0.17 113.33 12.64 3623.00 19870601.00 46.20 19930817.00 1.00 49.10 0.08 74.53 12.65 6533.00 19921207.00 21.30 20000201.00 1.00 82.90 0.11 85.80 12.70 998.00 19870301.00 5.55 19971107.00 1.00 24.80 0.17 128.20 13.00 998.00 19900101.00 28.30 19971107.00 1.00 24.80 0.05 94.20 13.30 4191.00 19900207.00 16.80 19990518.00 2.00 1.50 0.05 111.36 13.62 998.00 19880401.00 17.80 19971107.00 1.00 24.80 0.07 115.20 13.71 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % -7.72 1.04 delta 1.22 0.05 sig % 93.09 1.09 k % 19.55 0.81 a 0.72 0.02 b 5.03 0.13 pim * 100 5.66 0.54 c 0.95 d 0.48 log likelyhood -53571.52 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 18.99 23.16 beta is at a quarterly frequency, alpha is annualized Implied mean and sd of log returns (annualized) 13.99 97.30 Implied mean and sd of return levels (annualized) 66.28 120.48 alpha 38.58 beta 1.35 Continuous time alpha (q) (a) (in percent) 9.09 36.34 correlation matrix of estimated parameters 1.00 -0.64 -0.19 0.43 -0.23 0.26 0.13 -0.64 1.00 -0.00 0.04 -0.14 0.15 -0.05 -0.19 -0.00 1.00 -0.75 0.05 -0.05 -0.42 0.43 0.04 -0.75 1.00 -0.42 0.45 0.30 -0.23 -0.14 0.05 -0.42 1.00 -0.98 0.10 0.26 0.15 -0.05 0.45 -0.98 1.00 -0.09 0.13 -0.05 -0.42 0.30 0.10 -0.09 1.00 NOTE: Doit3 is incrementing tablerow