The Variability of IPO Initial Returns
Tóm tắt
The monthly volatility of IPO initial returns is substantial, fluctuates dramatically over time, and is considerably larger during “hot” IPO markets. Consistent with IPO theory, the volatility of initial returns is higher for firms that are more difficult to value because of higher information asymmetry. Our findings highlight underwriters’ difficulty in valuing companies characterized by high uncertainty, and raise serious questions about the efficacy of the traditional firm‐commitment IPO process. One implication of our results is that alternate mechanisms, such as auctions, could be beneficial for firms that value price discovery over the auxiliary services provided by underwriters.
Từ khóa
Tài liệu tham khảo
Box George E. P., 1976, Time Series Analysis: Forecasting and Control
Cooney John W. Ajai K.Singh Richard B.Carter andFrederick H.Dark 2001 IPO initial returns and underwriter reputation: Has the relationship flipped in the 1990s? Working paper Texas Tech.
Greene William H., 1993, Econometric Analysis
Jagannathan Ravi andAnn E.Sherman 2006 Why do IPO auctions fail? Working paper Northwestern University and University of Notre Dame.
Loughran Tim, 2004, Why has IPO underpricing changed over time, Financial Management, 33, 5