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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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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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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
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FOMC communication and emerging equity markets
Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2009
equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market … reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets …
Persistent link: https://www.econbiz.de/10003852244
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Growing Pains : International Instability and Equity Market Returns
Chen, Zhuo - 2016
We exploit a unique dataset of country-specific military expenditures and construct a proxy for international instability, measured as the growth of the global military expenditure to GDP ratio, to capture political tensions and international conflicts. Using the market indices of 44 countries,...
Persistent link: https://www.econbiz.de/10013008132
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The Influence of Lock-Up Provisions on IPO Initial Returns : Evidence from an Emerging Market
Mohd Rashid, Rasidah - 2015
A lock-up agreement ensures that major shareholders retain significant economic interest in the companies following the IPOs. Rationally, these insiders will not adhere to the lock-up agreement unless the benefits of doing so can more than offset the costs. Therefore, in an environment...
Persistent link: https://www.econbiz.de/10013012963
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Do Industry Growth Prospects Drive IPO Stock Performance?
Dong, Ming - 2012
We examine the relation between an ex ante measure of IPO growth prospects – the industry-level long-term analyst earnings growth forecast – and short- and long-run IPO returns, using a sample of 7,570 IPOs from 1982 to 2007. The use of an industry-level, rather than firm-level growth...
Persistent link: https://www.econbiz.de/10013115063
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An Examination of IPO Secondary Market Returns
Bradley, Daniel - 2011
IPO stock prices increased approximately 2.3% on the first day of secondary market trading over the period 1993 through 2003. While these aftermarket returns are accentuated during 1999 and 2000, they persist after the bubble burst and even increase as a percentage of total underpricing. We...
Persistent link: https://www.econbiz.de/10013123895
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Share Issuance Effects in the Cross-Section of Stock Returns
Lancaster, David P. - 2012
Previous research describes the net share issuance anomaly in U.S. stocks as pervasive, both in size-based sorts and in cross-section regressions. As a further test of its pervasiveness, this paper undertakes an in-depth study of share issuance effects in the Australian equity market. The...
Persistent link: https://www.econbiz.de/10013105357