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Essays on initial public offerings (...
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Gao, Yan.
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Essays on initial public offerings (IPOs).
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
Essays on initial public offerings (IPOs)./
作者:
Gao, Yan.
面頁冊數:
157 p.
附註:
Adviser: Ravi Jagannathan.
Contained By:
Dissertation Abstracts International63-04A.
標題:
Business Administration, General. -
電子資源:
http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3050522
ISBN:
0493650113
Essays on initial public offerings (IPOs).
Gao, Yan.
Essays on initial public offerings (IPOs).
- 157 p.
Adviser: Ravi Jagannathan.
Thesis (Ph.D.)--Northwestern University, 2002.
In this dissertation I examine the pricing and post issue performance of Initial Public Offerings (IPOs). In the first chapter I show that on average the offer price equals the intrinsic value of the issue computed using standard valuation methods and publicly available information. Further, the difference between the offer price and the intrinsic value of the issue is uncorrelated with the first day return. In the second chapter, using a more sophisticated analysis I show that it may be possible to predict the first day return on an IPO using the difference between the offer price of the issue and its intrinsic value. Issues where the offer price is either too low or too high relative to the intrinsic value earn relatively higher first day return on average. These findings are consistent with the theories advanced in the literature as to why IPOs are underpriced [Rock (1986), Benveniste and Spindt (1989)].
ISBN: 0493650113Subjects--Topical Terms:
1017457
Business Administration, General.
Essays on initial public offerings (IPOs).
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In this dissertation I examine the pricing and post issue performance of Initial Public Offerings (IPOs). In the first chapter I show that on average the offer price equals the intrinsic value of the issue computed using standard valuation methods and publicly available information. Further, the difference between the offer price and the intrinsic value of the issue is uncorrelated with the first day return. In the second chapter, using a more sophisticated analysis I show that it may be possible to predict the first day return on an IPO using the difference between the offer price of the issue and its intrinsic value. Issues where the offer price is either too low or too high relative to the intrinsic value earn relatively higher first day return on average. These findings are consistent with the theories advanced in the literature as to why IPOs are underpriced [Rock (1986), Benveniste and Spindt (1989)].
520
$a
There is some theoretical [Miller (1976)] and empirical [Diether, Molloy, and Scherbina (2002)] evidence in the literature that when investors disagree about he value of a stock the market price is likely to reflect the more optimistic view for less liquid stocks where short selling may be more costly. In the third chapter I show that this is true in the case of IPOs as well. I conjecture that issues that are relatively less liquid will exhibit more non-fundamental volatility. I measure non-fundamental volatility using cross-sectional and time-series regression methods suggested by Amihud and Mendelson (1987) and Damadaran (1993). I find that stocks with more non-fundamental volatility under-perform otherwise similar stocks in the long run (one to three years).
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http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3050522
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