Valuations of entrepreneurial companies are only observed occasionally, albeit more frequently for well-performing companies. Consequently, estimators of risk and return must correct for sample selection to obtain consistent estimates. We develop a general model of dynamic sample selection and...

Valuations of entrepreneurial companies are only observed occasionally, albeit more frequently for well-performing companies. Consequently, estimators of risk and return must correct for sample selection to obtain consistent estimates. We develop a general model of dynamic sample selection and...

Initial Public Offerings (IPOs) are often followed with a great deal of excitement by financial analysts. These companies are making a sudden transition from privately-held to publicly-traded. Many of these companies move from being relatively small and obscure to relatively large and subject to...

This paper is motivated by the apparent belief that risk and uncertainty surrounding an Initial Public Offering (IPO) have significant impact on underpricing. IPOs are underpriced on initial day to compensate for the risk inherent in it. While a list of risk proxies are suggested in literature,...

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...