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Valuing local and dual-class IPOs in the Alternative Investment Market
Wahid, Abdul; Mumtaz, Muhammad Zubair; Mantell, Edmund H. - In: Estudios de economía 47 (2020) 2, pp. 245-271
seasoned equities. In this paper, we address the valuation of IPOs in the Alternative Investment Market, (hereafter the AIM ….) The purpose of this study is to determine the observable factors that affect valuation in the AIM. We apply OLS, LASSO … statistical sample consists of 2,185 IPOs issued on the AIM between 1995 and 2020. Our findings suggest that the market valuation …
Persistent link: https://www.econbiz.de/10012406031
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An examination of short-run performance of IPOs using Extreme Bounds Analysis
Mumtaz, Muhammad Zubair; Smith, Zachary A.; Ahmed, … - In: Estudios de Economía 43 (2016) 1, pp. 71-95
This paper estimates the short-run performance of IPOs issued on the Karachi Stock Exchange in Pakistan. The present study extends the existing literature concentrating on the degree of underpricing over a 3-month period lasting from the listing date to the 3-month anniversary showing...
Persistent link: https://www.econbiz.de/10011538777
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An examination of short-run performance of IPOs using Extreme Bounds Analysis
Mumtaz, Muhammad Zubair; Smith, Zachary A.; Ahmed, … - In: Estudios de economía 43 (2016) 1, pp. 71-95
This paper estimates the short-run performance of IPOs issued on the Karachi Stock Exchange in Pakistan. The present study extends the existing literature concentrating on the degree of underpricing over a 3-month period lasting from the listing date to the 3-month anniversary showing...
Persistent link: https://www.econbiz.de/10011504407
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US Corporate Bond Yield Spread. A default risk debate
Shah, Syed Noaman; Kebewar, Mazen - 2013
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk factors. Current study empirically attempts to provide...
Persistent link: https://www.econbiz.de/10010312037
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Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie - 2011
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...
Persistent link: https://www.econbiz.de/10013128856
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A Reexamination of Corporate Governance and Equity Prices
Johnson, Shane A. - 2011
We reexamine long-term abnormal returns for portfolios sorted on governance characteristics. Firms with strong shareholder rights and firms with weak shareholder rights differ from the population of firms and from each other in how they cluster across industries. Using well-specified tests under...
Persistent link: https://www.econbiz.de/10013134103
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Stock Return Synchronicity and Technical Trading Rules
Kee, Koon Boon - 2014
Persistent link: https://www.econbiz.de/10013069529
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A Survey on the Determination of Nominal Exchange Rate for USD vis-à-vis INR
Pillin, Punit - 2018
In this paper, I have investigated the out of sample forecast performance for a case study on the determination of the nominal exchange rate for USD vis-à-vis IN¬R under VEC, VAR (in first difference) and Bayesian VAR specification with the help of set of economic theories. The forecast...
Persistent link: https://www.econbiz.de/10012910274
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Does Academic Research Destroy Stock Return Predictability?
McLean, R. David - 2016
We study the out-of-sample and post-publication return-predictability of 97 variables that academic studies show to predict cross-sectional stock returns. Portfolio returns are 26% lower out-of-sample and 58% lower post-publication. The out-of-sample decline is an upper bound estimate of data...
Persistent link: https://www.econbiz.de/10013007906
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The Effect of Macroeconomic Announcements on Credit Markets : An Autometric General-to-Specific Analysis of the Greenspan Era
Forest, James J. - 2018
I show that a congruent, parsimonious, encompassing model discovered using David Hendry's econometric modelling approach and Autometrics can overcome the many inadequacies of the typical static models of US Treasury returns regressed on macroeconomic announcements. The typical specification...
Persistent link: https://www.econbiz.de/10012928522