We examine the determinants of market value and underpricing for 1221 IPOs using a stochastic frontier model applied to the previously unexamined 1999-2010 period. We find that the book value of assets, the percentage of shares retained by the original owners of the firm, the commission rate and...

This study documents strong mean aversion in U.S. fixed income returns (but not stock returns) at 5-20 year horizons. These results are only slightly weaker for nominal returns than for real returns and prevail regardless of the period examined (1926-2011, 1951-2011, 1857-1925 or 1857-2011). I...