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Asset Pricing in the Dark : The Cross Section of OTC Stocks

Ang, Andrew - 2013

. Compared to premiums in listed markets, the OTC illiquidity premium is several times higher, the size, value, and volatility … premiums are similar, and the momentum premium is three times lower. The OTC illiquidity, size, value, and volatility premiums …

Persistent link: https://www.econbiz.de/10013093551

Asset Pricing in the Dark : The Cross Section of OTC Stocks

Ang, Andrew - 2013

Persistent link: https://www.econbiz.de/10013094101

Is IPO Underperformance a Peso Problem?

Ang, Andrew - 2016

Recent studies suggest that the underperformance of IPO's in the post-1970 sample may be a small sample effect or Peso problem. That is, IPO underperformance may be due to observing too few star performers ex-post than were expected ex-ante. We develop a model of IPO performance that captures...

Persistent link: https://www.econbiz.de/10012707234

Is IPO Underperformance a Peso Problem?

Ang, Andrew; Gu, Li; Hochberg, Yael V. - National Bureau of Economic Research (NBER) - 2006

Recent studies suggest that the underperformance of IPOs in the post-1970 sample may be a small sample effect or %u201CPeso%u201D problem. That is, IPO underperformance may result from observing too few star performers ex-post than were expected ex-ante. We develop a model of IPO performance...

Persistent link: https://www.econbiz.de/10005040621