The market for unseasoned equity has the unusual and distinguishing feature of periods of concentrated activity in terms of both volume and underpricing. This paper formally documents the existence of such periods using a regime-switching model that dates transitions between hot and cold states....

Younger, riskier, less credible firms do not voluntarily supply initial public offering prospectus earnings forecasts. Nondisclosure increases valuation uncertainty risk, thus necessitating higher first-day underpricing and long-run performance as compensation.

Conditions under which private firms going public will voluntarily disclose earnings forecasts in initial public offerings prospectuses are explored. The analysis implies younger, riskier companies do not voluntarily forecast earnings because of the potential costs of not performing as well as...

This paper finds that observed monthly United States stock index returns are consistent with an underlying mechanism of shifts in regimes amongst multiple states with differing means and volatility. An issue of especial interest is whether long-term clustering of regimes gives rise to stock...