IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis

Using a detailed sample made up of more than 20,000 investment rounds, we analyze the time to ‘IPO’, ‘trade sale’ and ‘liquidation’ for about 6,000 venture backed firms. We model these exit times using competing risks models. Biotech and internet firms have the fastest IPO exits. Internet firms are also the fastest to liquidate, while biotech firms are however the slowest. The conditional probability for IPOs are clearly non-monotonous with respect to time. As time flows, venture capital-backed firms first exhibit an increased likelihood of exiting to an IPO. However, after having reached a plateau, investments that have not yet exited have fewer and fewer possibilities of IPO exits as time increases. The bubble period from 1998 to 2000 was an ‘easy money’ period where venture capitalists gave much more money to firms, many of which did not offer outstanding growth potential as they tended to liquidate much faster than in normal times.IPO, trade sale, venture capital, exit, survival analysis

Modelling daily value-at-risk using realized volatility and arch type models

In this paper we show how to compute a daily VaR measure for two stock indexes (CAC40 and SP500) using the one-day-ahead forecast of the daily realized volatility. The daily re-alized volatility is equal to the sum of the squared intraday returns over a given day and thus uses intraday information to define an aggregated daily volatility measure. While the VaR specification based on an ARFIMAX(0,d,1)-skewed Student model for the daily realized volatility provides adequate one-day-ahead VaR forecasts, it does not really improve on the performance of a VaR model based on the skewed Student APARCH model and estimated using daily data. Thus, for the two financial assets considered in an univariate framework, both methods seem to be equivalent. This paper also shows that daily returns standardized by the square root of the one-day-ahead forecast of the daily realized volatility are not normally distributed.mathematical economics;

An international analysis of earnings, stock prices and bond yields

This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First, is there a long-term contemporaneous relationship between earnings, stock prices and government bond yields? Second, does a deviation from this possible long-run equilibrium impact stock prices such that the equilibrium is restored? Third, do government bond yields play a significant role in the long-run relationship or does the latter only involve stock prices and earnings? We also study the short-term impact of changes in long-term government bond yields on stock prices and discuss our short-term and long-term results in light of the recent developments regarding the so-called Fed model.stock indexes, earnings, long-run relationships, interest rates, inflation, market valuation

How does liquidity react to stress periods in a limit order market?

This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2, 2002 to April 30, 2003 time period. Using transaction and order book data for some large- and mid-cap Brussels-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity remains adequate when volatility increases, although we do find that it is more costly to trade and that the market dynamics is somewhat affected when volatility is high.order book, volatility, liquidity

Volatility regimes and the provisions of liquidity in order book markets

We analyze whether the liquidity provision in a pure order book market during normal market conditions (low volatility regime) differs from what is observed when the market is under stress (high volatility regime). We show that the static relationship between liquidity and volatility is resilient to regime changes in volatility. Nevertheless, we do find that it is more costly to trade when volatility is large. A VAR analysis shows that the liquidity dynamics is similar in the low and high volatility regimes, although the drop in liquidity subsequent to volatility shocks is larger in the high volatility regime. Finally, the market is more resilient to volatility or liquidity shocks in periods of turnoils.order book; volatility; liquidity

Commonalities in the order book

Recent contributions to microstructure theory hint a commonalities in the price-depth pairs which constitute the open limit order book. In this paper we provide empirical evidence that indeed a small number of latent factors, two for each side of the book, capture most of the variation the price-depth pairs. The results also indicate that a heterogeneous trader population is active on the buy and sell sides. The respective latent factors explaining the by and sell side variation exhibit specific dynamics. When we exploit results from microstructure theory to empirically assess whether the majority of the book variation is due to either informational effects or non-informational fluctuations of liquidity we obtain mixed results.limit order book; commonalities; liquidity; market microstructure

A Comparison of Financial Duration Models via Density Forecasts

Using density forecasts, we compare the predictive performance of duration models that have been developed for modelling intra-day data on stock markets. The compared models are the autoregressive conditional duration (ACD) models, their logarithmic versions, in each case with three distributions (Burr, Weibull, and exponential), and the stochastic volatility duration (SVD) model. A pilot Monte Carlo study is conducted to illustrate the relevance of the approach. The evaluation is done on transaction, price, and volume durations of 4 stocks listed at the NYSE. The results lead us to conclude that ACD and Log-ACD models often capture the dependence in the data in a satisfactory way, that they fit correctly the distribution of volume durations, that they fail to do so for trade durations, while the evidence is mixed for price durations.

Isolated pelvic bone involvement as a presentation of alveolar echinococcosis.

peer reviewe

Genetic diversity of Echinococcus multilocularis specimens isolated from Belgian patients with alveolar echinococcosis using EmsB microsatellites analysis.

The genetic diversity of Echinococcus multilocularis (E. multilocularis) specimens isolated from patients with alveolar echinococcosis (AE), is a major field of investigation to correlate with sources of infection, clinical manifestations and prognosis of the disease. Molecular markers able to distinguish samples are commonly used worldwide, including the EmsB microsatellite. Here, we report the use of the EmsB microsatellite polymorphism data mining for the retrospective typing of Belgian specimens of E. multilocularis infecting humans. A total of 18 samples from 16 AE patients treated between 2006 and 2021 were analyzed through the EmsB polymorphism. Classification of specimens was performed through a dendrogram construction in order to compare the similarity among Belgian samples, some human referenced specimens on the EWET database (EmsB Website for the Echinococcus Typing) and previously published EmsB profiles from red foxes circulating in/near Belgium. According to a comparison with human European specimens previously genotyped in profiles, the 18 Belgian ones were classified into three EmsB profiles. Four specimens could not be assigned to an already known profile but some are near to EWET referenced samples. This study also highlights that some specimens share the same EmsB profile with profiles characterized in red foxes from north Belgium, the Netherlands, Luxembourg and French department near to the Belgian border. Furthermore, Belgian specimens present a genetic diversity and include one profile that don't share similarities with the ones referenced in the EWET database. However, at this geographical scale, there is no clear correlation between EmsB profiles and geographical location. Further studies including additional clinical samples and isolates from foxes and rodents of south Belgium are necessary to better understand the spatial and temporal circumstances of human infections but also a potential correlation between EmsB profiles and parasite virulence

Evaluation of a commercial IgG monotest assay: a new automated chemiluminescent immunoassay for the serodiagnosis of cystic echinococcosis

Background: Cystic echinococcosis (CE) is a zoonotic disease caused by the tapeworm Echinococcus granulosus complex. The geographical distribution is worldwide with variable incidences. In Belgium, only few imported cases are reported each year. Serodiagnosis of CE is performed by using a combination of immunoassays which are mainly based on crude hydatid antigens. The Belgian National Reference Laboratory, has evaluated the CE-IVD Hydatidosis VirClia® IgG chemiluminescent immunoassay and compared it with two other immunoassays. Methods: A total of 79 sera were retrospectively included from 15 patients with CE, 29 with alveolar echinococcosis, 16 with toxocariasis and 19 negative controls. Three immunoassays were compared: the Hydatidosis VirClia® IgG monotest assay which was run on the Virclia® Lotus (Vircell, Spain); the Ridascreen® Echinococcus IgG assay (R-Biopharm, Germany) and the Bordier® Echinococcus granulosus IgG ELISA (Bordier, Switzerland), which were tested on the ETI-Max 3000 immunoassay analyzer (DiaSorin, Italy). The McNemar test is used for statistical analysis. Results: All three methods showed 100% sensitivity. Regarding specificity, the Ridascreen® (78.1%) and VirClia® (76.6%) assays showed comparable performance (p-value: 1), while the Bordier® assay had poor results (54,7%) (p-value: 0,0007). The Bordier® assay showed 76% cross-reactions with E. multilocularis (22/29) and 31% with Toxocara sp. (5/16), while the VirClia® assay showed 51,7% (15/29) and no cross-reaction with Toxocara antigens. For Ridascreen® assay, 34% and 19% cross-reactions were observed for E. multilocularis (10/29) and Toxocara sp. (3/16), respectively. Non-specific reactions in negative controls were only observed with the Ridascreen® (1/19) and Bordier® assays (2/19). The shortest turnaround time was observed with Virclia® Lotus: 1 hour versus 3 hours for two other assays. Conclusions: All assays showed very high sensitivity. However, regarding specificity, the VirClia® performs better than the Bordier® and similarly to the Ridascreen® assay. Besides, the ready-to-use monotest format offers many advantages such as a quicker methodology and a reduced workflow. Therefore, the VirClia® assay is an efficient screening method for the detection of CE but should always be combined with an immunoblot assay to assess the specificity