An empirical assessment of initial return volatility in newly listed stocks
Publication in refereed journal


香港中文大学研究人员 ( 现职)

麦建理教授 (金融学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1080/13504851.2015.1109035

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL

其它资讯

摘要A stock's first month of listing or seasoning' is often characterized by sharp volatility in initial returns. Such volatility is likely to be even more pronounced in initial public offering (IPO) markets where retail investors exert significant influence. I consider initial return volatility for IPOs pitched in Hong Kong, where the market organizer requires a sizeable fraction of shares on offer to be assigned to a retail subscription tranche. Within this context, I examine the pattern and determinants of IPO stocks' initial return volatility levels over their first 3http://aims.cuhk.edu.hk/converis/portal/Publication/0days of seasoning'. I observe that IPO underpricing, market sentiment and float size figure as key explanatory factors. Results also reaffirm the importance of information asymmetry effects (Ritter, 1984; Beatty and Ritter, 1986; and Lowry et al., 2http://aims.cuhk.edu.hk/converis/portal/Publication/01http://aims.cuhk.edu.hk/converis/portal/Publication/0). Larger IPO firms with tighter offer price spreads and more reputable underwriters exhibit noticeably greater price stability. I also assess Ljungqvist, Nanda and Singh's (2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/06) proposition that underpricing in hot' IPOs protects issuers and subscribers against a subsequent fall-off in issuer sentiment. Via analysis of retail tranche share allotments, I meaningfully extend findings (Jiang and Li, 2http://aims.cuhk.edu.hk/converis/portal/Publication/013) in this area.

着者McGuinness PB
期刊名称APPLIED ECONOMICS LETTERS
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/016
月份7
日期1
卷号23
期次11
出版社ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
页次8http://aims.cuhk.edu.hk/converis/portal/Publication/04 - 811
国际标準期刊号135http://aims.cuhk.edu.hk/converis/portal/Publication/0-4851
电子国际标準期刊号1466-4291
语言英式英语

关键词G14; G3http://aims.cuhk.edu.hk/converis/portal/Publication/0; G32; initial return volatility; IPOs; price uncertainty
Web of Science 学科类别Business & Economics; Economics