Hussein, M. Monica; Zhou, Zhong-Guo - In: Review of Pacific Basin Financial Markets and Policies … 17 (2014) 04, pp. 1450022-1
This paper investigates the monthly initial return and its conditional return volatility for Chinese IPOs. We find that the mean initial return (IR) and cross-sectional return volatility are highly auto- and cross-correlated, and time-varying. We propose a system of two simultaneous equations: a...