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Is the Abnormal Post-IPO Underperformance Really Abnormal? The Evidence from CEE Emerging Markets
Zaremba, Adam - 2014
No, it is not. Using sorting, cross-sectional tests, regression, and tests of a monotonic relation, we investigate the long-run post-IPO performance and its sources in the Central and Eastern European (CEE) markets. We examine over 1100 stocks from 11 CEE countries for the period 2002-2014....
Persistent link: https://www.econbiz.de/10013048355
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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities
Ledenyov, Dimitri - 2015
This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...
Persistent link: https://www.econbiz.de/10013026463
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Explanatory power of pre-issue financial strength for long-term market performance : evidence from initial equity offerings on an emerging market
Czapiewski, Leszek; Lizińska, Joanna - In: International Journal of Financial Studies : open … 7 (2019) 1/16, pp. 1-16
This study tests possible sources of long-term risk-adjusted returns on initial public offerings (IPO) in Poland under the calendar-time portfolio (CTP) approach. The moment of going public still remains a puzzle in many areas. Poland’s status as an emerging market has been indisputable for...
Persistent link: https://www.econbiz.de/10012038537
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Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries
Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168
This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...
Persistent link: https://www.econbiz.de/10014307488
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Cross-sectional reversal of intraday returns and investor heterogeneity in an emerging market
Chu, Xiaojun; Song, Shuang - In: Borsa Istanbul Review 23 (2023) 3, pp. 614-627
In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances...
Persistent link: https://www.econbiz.de/10014308779
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Price Discovery in Emerging Market ETFs
Atilgan, Yigit; Demirtas, K. Ozgur; Gunaydin, A. Doruk; … - 2021
returns. Moreover, the predictive relation is stronger during periods of higher volatility. We also find that an out …
Persistent link: https://www.econbiz.de/10013235335
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Does ERM sophistication drive IPO initial performance in emerging market? : evidence from Malaysian market
Norliza Che Yahya; Siti Sarah Alyasa-Gan; Rasidah … - In: ACRN journal of finance and risk perspectives 11 (2022), pp. 141-157
The escalation of complexity and multidimensional (internal and external) factors bring companies to a position where risk management should be of main concern. Enterprise Risk Management (ERM) adoption and the extent of ERM implementation is seen as a guaranteeing element to increase the value...
Persistent link: https://www.econbiz.de/10014235058
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IPO First-Day Returns, Offer Price Revisions, Volatility, and Form S-1 Language
Loughran, Tim - 2013
subsequent volatility. Our findings provide empirical evidence for the theoretical models of uncertainty, bookbuilding, and …
Persistent link: https://www.econbiz.de/10013090468
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IPO Activity and Market Volatility
Dicle, Mehmet F. - 2017
We hypothesize two channels in which market volatility affects initial public offering (IPO) activity. First, CEOs time … the market for IPOs and volatility makes this decision process harder. Second, risk-averse IPO investors become more … reluctant towards IPOs during periods of higher volatility for their after-IPO returns. We provide evidence that higher market …
Persistent link: https://www.econbiz.de/10012946947
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Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie - 2011
leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …
Persistent link: https://www.econbiz.de/10013128856