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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/10011504407
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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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What drives US stock markets during the COVID-19 pandemic? : a global sensitivity analysis
Ahmed, Walid M. A. - In: Borsa Istanbul Review 22 (2022) 5, pp. 939-960
This paper identifies robust determinants of US stock price movements in the economic shadow of the COVID-19 crisis and in the presence of model uncertainty, using several influential factors highlighted in relevant research. Our investigation performs an extreme bounds analysis (EBA), a global...
Persistent link: https://www.econbiz.de/10013426711
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On the empirical saddlepoint approximation with application to asset pricing
Holcblat, Benjamin - 2015
Moment-based estimation often yields instable estimates, such as the RRA (relative risk aversion) estimate in consumption-based asset pricing. This paper establishes novel theoretical results for the ESP (empirical saddlepoint) approximation, and then use them to investigate this instability. We...
Persistent link: https://www.econbiz.de/10012064363
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A Flexible Estimation of Sectoral Portfolio Exposure to Climate Transition Risks in the European Stock Market
Zanin, Luca - 2023
I investigate the exposure of sectoral equity portfolios to climate transition risks by augmenting a three-factor asset pricing model with a green-minus-brown (GMB) factor as a proxy. I estimate the relationship between risk factors and excess returns within an additive mixed model...
Persistent link: https://www.econbiz.de/10014350807
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Asynchronous Trading Revisited : Bias in Beta and Implications for Empirical Asset Pricing
Wiedemann, Timo - 2022
Trading is not continuous, leading to asynchronous trading times for different assets. This paper analyses the effect of asynchronous trading on an asset’s beta and evaluates its implication for the asset pricing literature. It shows that estimates are heavily downward-biased, with estimated...
Persistent link: https://www.econbiz.de/10013403576
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LongMemory, Count Data, Time Series Modelling for Financial Application
Quoreshi, Shahiduzzaman - Institutionen för Nationalekonomi, Umeå Universitet - 2006
A model to account for the long memory property in a count data framework <p> is proposed and applied to high frequency stock transactions data. <p> The unconditional and conditional first and second order moments are <p> given. The CLS and FGLS estimators are discussed. In its empirical <p> application to...</p></p></p></p>
Persistent link: https://www.econbiz.de/10005198001
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TIME SERIES MODELLING OF HIGH FREQUENCY STOCK TRANSACTION DATA
Quoreshi, Shahiduzzaman - Institutionen för Nationalekonomi, Umeå Universitet - 2006
This thesis comprises four papers concerning modelling of financial count data. Paper [1], [2] <p> and [3] advance the integer-valued moving average model (INMA), a special case of integer-valued <p> autoregressive moving average (INARMA) model class, and apply the models to the number of <p> stock...</p></p></p>
Persistent link: https://www.econbiz.de/10005651931
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Discretized Time and Conditional Duration Modelling for Stock Transaction Data
Brännäs, Kurt; Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2003
The paper considers conditional duration models in which durations are in continuous time but measured in grouped or discretized form. This feature of recorded durations in combination with a frequently traded stock is expected to negatively influence the performance of conventional estimators....
Persistent link: https://www.econbiz.de/10005651936