*************************************************************************************************** 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 keeping all returns, even 4 huge 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 log annualized return greater than 15 4.00 Remaining data: 16642.00 Note: following refers to round, not company. Round may end in another round, though company eventually goes public Percent bankrupt 9.19 Percent ipo 21.20 Percent acquired 20.41 Percent with subsequent round 0 Percent Private 45.49 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 47.66 findlk3 WARNING: lnV is past grid. Make grid bigger. i x 6341.00 7456.00 2.00 8.00 19950407.00 1.00 3.00 19960412.00 1.00 4144.00 1368.38 0 0 0 Directional Iteration Func-count f(x) Step-size derivative 1 7 60104.6 0.001 -4.86e+008 2 18 60104.6 1e-011 -4.86e+008 3 29 60102.6 1.5e-013 -1.33e+013 4 45 59080.4 6.48887e-006 -5.49e+005 5 59 56074 0.000310061 -5.34e+006 6 70 56071.2 0.000110424 59 7 82 55653.2 0.18129 -2.14e+003 8 93 55651.9 2.98469e-005 -4.21e+004 9 104 55650 0.00047603 -4e+003 10 112 55649.1 0.000238015 -4e+003 11 120 55648.6 0.000119007 -4e+003 12 131 55647 1.95292e-005 -8.12e+004 13 139 55646.2 9.76458e-006 -8.13e+004 14 147 55645.8 4.88229e-006 -8.13e+004 15 158 55642.2 5.66913e-005 -6.5e+004 16 166 55640.3 2.83457e-005 -6.5e+004 17 174 55639.4 1.41728e-005 -6.5e+004 18 187 55559.8 0.0321757 -2.46e+003 19 198 55559.8 5.18887e-009 -1.24e+005 20 206 55559.8 9.51732e-008 -1.24e+005 21 214 55559 6.662e-006 -1.24e+005 22 222 55558.6 3.331e-006 -1.24e+005 23 235 55534.5 0.0157161 -1.53e+003 24 246 55528.3 0.000237588 -2.61e+004 25 254 55525.2 0.000118794 -2.6e+004 26 266 55522 0.000551614 -5.93e+003 27 277 55518.5 1.73107e-005 -1.98e+005 28 285 55516.8 8.65533e-006 -1.98e+005 29 298 55491.3 0.0043236 -5.89e+003 30 309 55489.4 9.40341e-005 -2.03e+004 31 320 55485.1 0.000432484 -9.98e+003 32 331 55484 0.000162508 -6.8e+003 33 339 55483.4 8.1254e-005 -6.8e+003 34 350 55465.9 0.0128934 -1.36e+003 35 361 55463.6 0.000218258 -1.06e+004 36 372 55459 3.81558e-005 -1.21e+005 37 383 55456.2 0.000472877 -5.92e+003 38 394 55455.5 0.000112336 -5.79e+003 39 405 55406.4 0.00577132 -8.48e+003 40 416 55406.1 0.00024015 -1.44e+003 41 424 55405.9 0.000120075 -1.44e+003 42 435 55405.6 4.83549e-006 -6.6e+004 43 446 55404.7 8.16489e-005 -1.08e+004 44 458 55404.1 0.000343393 -1.63e+003 45 466 1.35125e+006 0.0413128 7.73e+007 46 474 55404.1 9.98252e-007 -1.63e+003 47 485 55403.6 0.000161319 -3.07e+003 48 496 55403.1 0.00048625 -1.1e+003 49 504 82206.4 0.0166399 7.97e+006 50 512 55399.1 0.00366479 -1.1e+003 51 523 55398.3 0.000230731 -3.32e+003 52 534 55398.1 4.71717e-005 -4.79e+003 53 542 59773.5 0.00188398 1.38e+007 54 550 55395.8 0.000468617 -4.79e+003 55 561 55395.7 3.25875e-005 -4.74e+003 56 572 55392.7 0.00285291 -1.04e+003 57 583 55392.1 0.000204165 -2.76e+003 58 594 55392.1 1.83951e-007 -5.6e+003 59 606 55392.1 4.57918e-005 -468 60 614 61285.4 0.00723844 1.66e+006 61 622 55392.1 1.08231e-006 -468 62 633 55392.1 1.82469e-005 -104 63 644 55392.1 0.00112895 -45.8 64 652 55392 0.000564476 -45.8 65 663 55392 6.33438e-005 -113 66 671 55431.3 0.00756409 1.19e+004 67 679 55392 5.5062e-005 -113 68 690 55391.9 0.00485527 13.8 69 701 54855.2 9.88785 80.3 70 712 54694.8 1.1196 -0.798 71 724 54550 6.58621 -0.37 72 735 54549.6 1.23808 0.00639 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 -0.04 1.21 0.64 0.04 1.23 3.11 0.00 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) 655.22 3.84 14.07 test for delta = 0, and all other parameters unchanged. chi2 value, chi2(1) and chi2(#pars) 324.47 3.84 14.07 test for gamma= 0 and delta = 0, and all other parameters unchanged. chi2 value, chi2(2) and chi2(#pars) 66.59 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 1313.00 19990501.00 122.00 19991101.00 2.00 6900.00 56.56 6.00 14.14 1344.00 19960209.00 73.90 19970211.00 2.00 4.00 0.05 12.07 14.26 2096.00 19990128.00 69.70 19990723.00 2.00 5.50 0.08 5.84 14.34 6812.00 19960510.00 5.20 19970701.00 2.00 0.25 0.05 13.70 14.42 998.00 19880401.00 17.80 19971107.00 1.00 24.80 0.07 115.20 14.43 998.00 19900101.00 28.30 19971107.00 1.00 24.80 0.05 94.20 14.57 5689.00 19960815.00 750.00 19990630.00 2.00 25.00 0.03 34.49 14.76 1313.00 19970515.00 9.00 19991101.00 2.00 6900.00 421.80 29.54 14.94 4191.00 19900207.00 16.80 19990518.00 2.00 1.50 0.05 111.36 14.97 1269.00 19920814.00 7.20 19961001.00 2.00 0.50 0.03 49.57 15.16 1269.00 19920201.00 6.70 19961001.00 2.00 0.50 0.03 56.00 15.24 1985.00 19990322.00 140.00 19990629.00 1.00 86.20 0.12 3.23 15.51 2773.00 19950817.00 16.50 19990607.00 2.00 0.41 0.02 45.67 15.55 1145.00 19951222.00 31.60 19980914.00 2.00 0.62 0.02 32.74 15.78 6613.00 19950726.00 15.00 19970815.00 2.00 4.00 0.02 24.64 16.05 5762.00 19991005.00 38.00 20000306.00 2.00 805.20 21.19 5.03 16.07 2591.00 19960501.00 2.00 19991209.00 1.00 1629.80 658.84 43.26 17.08 1765.00 19970531.00 108.00 19980626.00 1.00 104.00 0.03 12.84 17.15 3536.00 19960611.00 9.00 19990624.00 1.00 9637.60 763.09 36.43 17.20 6533.00 19990917.00 120.00 20000201.00 1.00 82.90 0.04 4.47 18.29 6787.00 19950321.00 12.00 19971007.00 1.00 38.20 0.01 30.54 18.79 6787.00 19960321.00 15.15 19971007.00 1.00 38.20 0.01 18.54 18.88 6787.00 19930219.00 2.20 19971007.00 1.00 38.20 0.01 55.61 19.50 3567.00 19931201.00 150.00 19990402.00 2.00 1.25 0.01 64.03 19.75 3567.00 19940214.00 260.00 19990402.00 2.00 1.25 0.00 61.61 21.29 6787.00 19961115.00 20.34 19971007.00 1.00 38.20 0.01 10.74 21.45 7456.00 19950407.00 3.00 19960412.00 1.00 4144.00 1368.38 12.16 21.74 6787.00 19970327.00 26.30 19971007.00 1.00 38.20 0.01 6.34 22.37 5488.00 19960116.00 28.80 19960627.00 1.00 1607.10 54.61 5.36 22.47 3966.00 19891024.00 10.00 19901001.00 1.00 22.80 0.00 11.24 22.66 6787.00 19970627.00 40.20 19971007.00 1.00 38.20 0.01 3.34 22.84 Table . Maximum Likelyhood estimates A. Parameter Estimates and Standard Errors Parameter estimate std err gamma % -17.44 0.68 delta 1.21 0.01 sig % 128.09 0.59 k % 4.13 0.03 a 1.23 0.00 b 3.11 0.00 pim * 100 0.00 0.00 c 0.95 d 0.48 log likelyhood -54549.49 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) 0.35 129.35 Implied mean and sd of return levels (annualized) 93.47 177.81 alpha 71.59 beta 1.43 Continuous time alpha (q) (a) (in percent) 16.22 64.87 correlation matrix of estimated parameters 1.00 -0.15 -0.21 -0.26 -0.04 -0.12 0.04 -0.15 1.00 -0.93 0.98 0.99 1.00 0.03 -0.21 -0.93 1.00 -0.88 -0.97 -0.94 -0.04 -0.26 0.98 -0.88 1.00 0.97 0.99 0.02 -0.04 0.99 -0.97 0.97 1.00 1.00 0.04 -0.12 1.00 -0.94 0.99 1.00 1.00 0.03 0.04 0.03 -0.04 0.02 0.04 0.03 1.00 NOTE: Doit3 is incrementing tablerow