Similar Search Results

Simple Computational Methods for Pricing a Down and Out Basket Bermudan Put

Cao, Guanghua - 2007

A Down and Out Basket Bermudan Put is a derivative instrument which pays out the difference between a strike level and the value of a basket of underlying stocks. The option may be exercised at the discretion of the holder at weekly intervals; exercise is automatic if the basket reaches a...

Persistent link: https://www.econbiz.de/10012729988

Underpricing and Aftermarket Liquidity : An Empirical Exploration of Hong Kong IPOs

Morales-Camargo, Emmanuel - 2007

This study evaluates the implications of three of the extant IPO models relating underpricing and aftermarket liquidity … models by evaluating not only the direction and sign of the theorized relation between underpricing and aftermarket liquidity … little support for models that posit that aftermarket liquidity and liquidity risk are responsible for higher underpricing …

Persistent link: https://www.econbiz.de/10012730410

Shareholder Diversification and the Decision to Go Public

Bodnaruk, Andriy - 2007

We study IPOs by focusing on the degree of portfolio diversification of the shareholders taking the company public. We argue that a less diversified shareholder has more to gain from taking the company public and would be more willing to accept a lower price for the sale of its shares, i.e....

Persistent link: https://www.econbiz.de/10012732192

SEC Regulation Fair Disclosure, Information, and the Cost of Capital

Gomes, Armando R. - 2007

We empirically investigate the effects of the adoption of Regulation Fair Disclosure (Reg FD) by the U.S. Securities and Exchange Commission in October 2000. This rule was intended to stop the practice of selective disclosure, in which companies give material information only to a few analysts...

Persistent link: https://www.econbiz.de/10012732263

25 Years of Dutch Ipos

Doeswijk, Ronald Q. - 2005

This study focuses on the existence of the initial underpricing and the long-term underperformance anomalies in the Dutch IPO market between 1977 and 2001, and whether the strength of these anomalies differs during hot and cold issue periods. We compared the performance of each IPO with its...

Persistent link: https://www.econbiz.de/10012736171

Investor Demand for Ipos and Aftermarket Performance : Evidence from the Hong Kong Stock Market

Agarwal, Sumit - 2005

In this study, we examine the relationship between investor demand for IPOs prior to offerings and aftermarket performance of IPO firms during the period from 1993 to 1997 in the Hong Kong stock market. The paper finds that IPOs with high investor demand have large positive initial returns but...

Persistent link: https://www.econbiz.de/10012737208

The Effects of Option Expiration on NSE Volume and Prices

Gupta, Akash - 2004

This paper studies the effect of stock options expiration day on the underlying shares traded on the National Stock Exchange (NSE). Overall we tested for abnormal trading volume, abnormal price movement, individual stock reversal and stock pinning on expiration days. To the best of our...

Persistent link: https://www.econbiz.de/10012737804

Trading Risk and Volatility in Interest Rate Swap Spreads

Kambhu, John - 2004

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which...

Persistent link: https://www.econbiz.de/10012737906

Analysts' Conflict of Interest and Biases in Earnings Forecasts

Chan, Louis K.C. - 2004

Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We hypothesize that the equity bull market of the 1990s, along with the boom in investment banking business, exacerbated analysts' conflict of interest and their incentives to adjust strategically...

Persistent link: https://www.econbiz.de/10012739016

Value Line and I/B/E/S Earnings Forecasts

Ramnath, Sundaresh - 2004

This paper compares Value Line and I/B/E/S analyst earnings forecasts in terms of accuracy, rationality, and as proxies for market expectations. Using more recent data and forming consensus forecasts from the I/B/E/S detail files, we reach different conclusions than Philbrick and Ricks [1991],...

Persistent link: https://www.econbiz.de/10012739141