IPO First-Day Return and Ex Ante Equity Premium

摘要：

This paper proposes a new measure of ex ante equity premium, IPOFDR, which is the average difference between the IPO offer price and first-trading-day close price. I test the idea in three ways. First, there is a significantly positive relation between IPOFDR and future market returns. Second, changes in IPOFDR perform just as well as HML in explaining the cross-section of stock returns. Third, IPOFDR forecasts stock returns because of its relation with stock market variance and average idiosyncratic variance—arguably measures of systematic risk. These results cast doubt on the notion that IPO underpricing is a measure of investor sentiment.

作者: Hui Guo

作者单位: College of Business Administration, University of Cincinnati, Cincinnati, OH 45221

会议类型: 国际会议

会议名称: 2009年中国金融国际年会

会议地点: 广州

会议语种:英文

页码: 1-59

在线出版日期: 2009-07-07（万方平台首次上网日期，不代表论文的发表时间）