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Characterizing the risk of IPO long-run returns : the impact of momentum, liquidity, skewness, and investment

Carter, Richard B.; Dark, Frederick H.; Floros, Ioannis V. - In: Financial management 40 (2011) 4, pp. 1067-1086

Persistent link: https://www.econbiz.de/10009541523

Characterizing the Risk of IPO Long-Run Returns : The Impact of Momentum, Liquidity, Skewness, and Investment

Carter, Richard B. - 2012

We study 6,686 IPOs spanning the period 1981-2005 and find that the new issues puzzle disappears in a Fama-French three-factor framework. IPOs do not underperform in the aftermarket on a risk-adjusted basis and do not underperform a matched sample of non-issuers. IPO underperformance is...

Persistent link: https://www.econbiz.de/10013116834

Efficient estimation of distributional tail shape and the extremal index with applications to risk management

Sapp, Travis R. A. - In: Journal of mathematical finance 6 (2016) 4, pp. 626-659

Persistent link: https://www.econbiz.de/10011656984