Initial Public Offerings: An Asset Allocation Perspective
We examine whether investors can improve their investment opportunity sets by adding an IPO portfolio to a set of benchmark portfolios sorted by firm size and book-to-market ratio.Using U.S. IPOs from 1980-2002, we find that adding a value-weighted IPO portfolio does lead to a statistically and economically significant enlargement of the investment opportunity set for investors relative to investing solely in a set of benchmark portfolios.Furthermore, IPOs associated with prestigious lead underwriters are the main source of this augmentation of the mean-variance investment opportunity set. The improvement for diversification may be explained by extending the incomplete spanning argument in Mauer and Senbet (1992). Finally, our study implies that issuing IPO exchange traded funds or similar products could provide diversification gains to investors.
Initial Public Offerings Investment Opportunity Set Mean-Variance Spanning Test
Hsuan-Chi Chen Keng-Yu Ho Cheng-Huan Wu
Department of Finance, Yuan Ze University, Taiwan Department of Finance, National Central University, Taiwan
国际会议
西安
英文
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）