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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 Muhammad Noaman Ahmed; 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/10015236101
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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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Is the research agenda for calendar anomalies “much do about nothing”?
Sproule, Robert; Gosselin, Gabriel - 2023
Calendar anomalies are a class of financial market phenomena which links periodic, time-specific dummy variables and variations in the market price of an asset. Prior studies which report a calendar anomaly are seen by some as refutations of the efficient market hypothesis. In this paper, we...
Persistent link: https://www.econbiz.de/10015269871
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On the random walk characteristics of stock returns in India
Hiremath, Gourishankar S; Bandi, Kamaiah - 2009
An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...
Persistent link: https://www.econbiz.de/10015236788
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Measuring causality between volatility and returns with high-frequency data
Dufour, Jean-Marie; García, René; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008
We use high-frequency data to study the dynamic relationship between volatility and equity returns. We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. The leverage hypothesis asserts that...
Persistent link: https://www.econbiz.de/10008486971
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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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Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...
Persistent link: https://www.econbiz.de/10014023859