*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date Index = nasdaq small 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 small 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 60365.4 0.001 -5.36e+008 2 18 60365.4 1e-011 -5.36e+008 3 26 60365.4 5e-012 -5.36e+008 4 41 56826.5 2.56173e-005 -7.4e+006 5 52 55705.4 4.20102e-006 -6.15e+007 6 64 54418.4 6.10342e-005 6.13e+005 7 76 54046.8 0.00148157 -2.44e+004 8 89 53975.2 0.0305949 -225 9 101 53959.2 0.00173285 -2.68e+003 10 114 53930.6 0.227576 -18 11 125 53801.3 0.537668 0.115 12 137 53777 1.80929 0.00181 13 149 53767.7 1.88712 0.0274 14 161 53764.5 5.0576 -0.0235 15 172 53763.4 1.68952 -0.0254 16 183 53763.1 0.73661 -0.0341 17 195 53763.1 1.50096 -0.00473 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 0.88 0.46 0.22 0.66 5.36 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) 0.48 3.84 14.07 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 630.35 3.84 14.07 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 611.99 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 1267.00 19950901.00 5.00 19951130.00 2.00 41.60 8.32 2.95 12.05 2083.00 19960410.00 51.50 19960816.00 1.00 677.90 11.59 4.20 12.05 1115.00 19960603.00 7.30 19961220.00 2.00 150.00 20.55 6.56 12.06 5741.00 19920625.00 10.20 19980528.00 1.00 18.60 0.13 71.10 12.06 3966.00 19891024.00 10.00 19901001.00 1.00 22.80 0.00 11.24 12.09 2096.00 19960624.00 91.00 19990723.00 2.00 5.50 0.04 36.97 12.10 4082.00 19901015.00 40.00 19950503.00 2.00 4.00 0.09 54.61 12.12 1295.00 19911130.00 23.50 19980701.00 2.00 2.90 0.12 79.05 12.12 322.00 19980129.00 50.00 19980701.00 1.00 778.00 12.56 5.08 12.13 2773.00 19950817.00 16.50 19990607.00 2.00 0.41 0.02 45.67 12.15 1145.00 19951222.00 31.60 19980914.00 2.00 0.62 0.02 32.74 12.16 4191.00 19921101.00 10.00 19990518.00 2.00 1.50 0.14 78.56 12.22 4191.00 19930319.00 12.40 19990518.00 2.00 1.50 0.12 73.97 12.25 2040.00 19911201.00 11.75 19980624.00 2.00 5.94 0.12 78.76 12.28 1269.00 19920814.00 7.20 19961001.00 2.00 0.50 0.03 49.57 12.28 2923.00 19920901.00 9.70 19980731.00 2.00 0.90 0.09 70.99 12.30 4082.00 19880601.00 20.00 19950503.00 2.00 4.00 0.13 83.07 12.35 1269.00 19920201.00 6.70 19961001.00 2.00 0.50 0.03 56.00 12.41 1885.00 19890101.00 50.00 19940726.00 2.00 5.80 0.07 66.82 12.42 6787.00 19930219.00 2.20 19971007.00 1.00 38.20 0.01 55.61 12.46 4508.00 19891101.00 26.00 19990929.00 1.00 90.80 0.22 118.92 12.46 5741.00 19910501.00 7.00 19980528.00 1.00 18.60 0.13 84.89 12.47 3567.00 19940214.00 260.00 19990402.00 2.00 1.25 0.00 61.61 12.51 3623.00 19870601.00 46.20 19930817.00 1.00 49.10 0.08 74.53 12.55 3567.00 19931201.00 150.00 19990402.00 2.00 1.25 0.01 64.03 12.58 6533.00 19921207.00 21.30 20000201.00 1.00 82.90 0.11 85.80 12.72 2196.00 19870201.00 13.70 19960711.00 2.00 6.80 0.17 113.33 12.83 998.00 19870301.00 5.55 19971107.00 1.00 24.80 0.17 128.20 13.11 998.00 19900101.00 28.30 19971107.00 1.00 24.80 0.05 94.20 13.31 4191.00 19900207.00 16.80 19990518.00 2.00 1.50 0.05 111.36 13.74 998.00 19880401.00 17.80 19971107.00 1.00 24.80 0.07 115.20 13.75 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % -0.26 0.95 delta 0.88 0.04 sig % 92.08 1.09 k % 21.63 0.62 a 0.66 0.02 b 5.36 0.15 pim * 100 6.31 0.63 c 0.95 d 0.48 log likelyhood -53763.08 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 19.12 30.62 beta is at a quarterly frequency, alpha is annualized Implied mean and sd of log returns (annualized) 17.35 95.92 Implied mean and sd of return levels (annualized) 68.65 119.16 alpha 44.70 beta 0.97 Continuous time alpha (q) (a) (in percent) 10.41 41.63 correlation matrix of estimated parameters 1.00 -0.79 -0.20 0.63 -0.22 0.26 -0.00 -0.79 1.00 0.39 -0.80 0.31 -0.32 -0.04 -0.20 0.39 1.00 -0.77 -0.49 0.49 -0.39 0.63 -0.80 -0.77 1.00 0.26 -0.22 0.28 -0.22 0.31 -0.49 0.26 1.00 -0.99 0.45 0.26 -0.32 0.49 -0.22 -0.99 1.00 -0.45 -0.00 -0.04 -0.39 0.28 0.45 -0.45 1.00 NOTE: Doit3 is incrementing tablerow