*************************************************************************************************** Doit3: starting new run If bankrupt, interpreting as before reported date 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 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 62503.6 0.001 -1.1e+009 2 18 62503.6 1e-011 -1.1e+009 3 26 62503.6 5e-012 -1.1e+009 4 34 62502.4 1.11754e-009 -1.1e+009 5 46 60033.7 2.26467e-005 -3.03e+006 6 57 58096.7 2.09641e-005 -2.17e+006 7 69 55985.7 9.45521e-005 -3.86e+004 8 81 55322.8 0.000372257 9.52e+004 9 92 55322 0.000113448 1.54e+004 10 105 55041.4 0.0200437 1.59e+004 11 117 53998.8 0.360202 -35.1 12 128 53747.3 0.896873 -6.17 13 139 53703.1 1.39675 -0.309 14 150 53664.9 1.93024 -0.602 15 161 53635.5 2.02557 -0.0855 16 172 53615.1 1.19631 -0.445 17 183 53606.6 1.87017 0.0225 18 194 53603.6 1.53666 -0.0396 19 205 53600.5 1.76128 -0.039 20 216 53599.5 1.71723 0.000891 21 228 53599 1.44258 0.00681 22 239 53598.2 3.98965 0.0135 23 251 53596.5 5.11192 0.0124 24 263 53590.6 5.53589 -0.0937 25 274 53582.7 1.2464 -5.29 26 285 53579.7 0.227993 -7.18 27 297 53577.5 1.01792 -0.379 28 308 53577.3 1.17169 -0.0478 29 319 53577.3 0.88739 -0.000416 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 -0.04 0.71 0.47 0.17 0.78 4.63 0.05 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 7460.00 19990518.00 25.40 19990922.00 1.00 242.00 8.06 4.13 12.21 6787.00 19950321.00 12.00 19971007.00 1.00 38.20 0.01 30.54 12.23 6787.00 19970327.00 26.30 19971007.00 1.00 38.20 0.01 6.34 12.24 6787.00 19970627.00 40.20 19971007.00 1.00 38.20 0.01 3.34 12.24 1531.00 19990401.00 212.00 19990701.00 1.00 3034.10 13.94 3.00 12.25 2040.00 19911201.00 11.75 19980624.00 2.00 5.94 0.12 78.76 12.25 2773.00 19950817.00 16.50 19990607.00 2.00 0.41 0.02 45.67 12.26 2083.00 19960410.00 51.50 19960816.00 1.00 677.90 11.59 4.20 12.26 4191.00 19921101.00 10.00 19990518.00 2.00 1.50 0.14 78.56 12.26 378.00 19920101.00 24.00 19920306.00 1.00 293.10 9.05 2.16 12.27 1267.00 19950901.00 5.00 19951130.00 2.00 41.60 8.32 2.95 12.28 4191.00 19930319.00 12.40 19990518.00 2.00 1.50 0.12 73.97 12.30 3966.00 19891024.00 10.00 19901001.00 1.00 22.80 0.00 11.24 12.31 1145.00 19951222.00 31.60 19980914.00 2.00 0.62 0.02 32.74 12.32 4508.00 19891101.00 26.00 19990929.00 1.00 90.80 0.22 118.92 12.33 1115.00 19960603.00 7.30 19961220.00 2.00 150.00 20.55 6.56 12.33 2923.00 19920901.00 9.70 19980731.00 2.00 0.90 0.09 70.99 12.38 5741.00 19910501.00 7.00 19980528.00 1.00 18.60 0.13 84.89 12.39 1885.00 19890101.00 50.00 19940726.00 2.00 5.80 0.07 66.82 12.50 1269.00 19920814.00 7.20 19961001.00 2.00 0.50 0.03 49.57 12.52 3567.00 19940214.00 260.00 19990402.00 2.00 1.25 0.00 61.61 12.65 1269.00 19920201.00 6.70 19961001.00 2.00 0.50 0.03 56.00 12.65 3623.00 19870601.00 46.20 19930817.00 1.00 49.10 0.08 74.53 12.67 2196.00 19870201.00 13.70 19960711.00 2.00 6.80 0.17 113.33 12.69 3567.00 19931201.00 150.00 19990402.00 2.00 1.25 0.01 64.03 12.72 6787.00 19930219.00 2.20 19971007.00 1.00 38.20 0.01 55.61 12.73 6533.00 19921207.00 21.30 20000201.00 1.00 82.90 0.11 85.80 12.80 998.00 19870301.00 5.55 19971107.00 1.00 24.80 0.17 128.20 12.86 998.00 19900101.00 28.30 19971107.00 1.00 24.80 0.05 94.20 13.46 998.00 19880401.00 17.80 19971107.00 1.00 24.80 0.07 115.20 13.76 4191.00 19900207.00 16.80 19990518.00 2.00 1.50 0.05 111.36 13.80 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % -16.95 1.13 delta 0.71 0.02 sig % 94.47 1.14 k % 17.43 0.76 a 0.78 0.03 b 4.63 0.15 pim * 100 5.26 0.50 c 0.95 d 0.48 log likelyhood -53577.27 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 sigm = 0.19 Using parameters (annualized percentages) ElogRf, ElogRm, sigmalogRm 6.82 38.78 37.33 beta is at a quarterly frequency, alpha is annualized Implied mean and sd of log returns (annualized) 12.63 98.14 Implied mean and sd of return levels (annualized) 65.66 121.49 alpha 28.18 beta 0.74 Continuous time alpha (q) (a) (in percent) 6.56 26.25 correlation matrix of estimated parameters 1.00 -0.72 -0.30 0.50 -0.13 0.17 0.22 -0.72 1.00 0.11 -0.05 -0.23 0.23 -0.13 -0.30 0.11 1.00 -0.76 -0.07 0.05 -0.48 0.50 -0.05 -0.76 1.00 -0.27 0.32 0.37 -0.13 -0.23 -0.07 -0.27 1.00 -0.99 0.08 0.17 0.23 0.05 0.32 -0.99 1.00 -0.08 0.22 -0.13 -0.48 0.37 0.08 -0.08 1.00 NOTE: Doit3 is incrementing tablerow Warning: File not found or permission denied. > In C:\MATLAB6p5\toolbox\matlab\general\@char\delete.m at line 35 In C:\aaj\offroad\revision\mlest3.m at line 216