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IPO anomalies, truncated excess supply, and heterogeneous information
There are three widely dicumented IPO anomalies (Ibbotson 1975 ), Ibbotson et al. (1993), Loughran and Ritter ( 1993, 1995) : Positive average initial return ( IR ), long term underpricing-based models such as, Rock ( 1986 ), Tinic (1988), Grinblatt and Hwang (1989), and Overreaction hypothesis such as, Aggarwal and Rivoli ( 1990), Ritter (1991). In this dissertation, I propose a new alternative explanation of the anomalies. The explanation is based on the following concepts : (1) IPOs can be withdrawn ; (2) reputation of the underwriter is important ; (3) the frequent ( informed ) and occasional ( uninformed ) investors, (4) the heterogeneity of investors'valuations, (5) the random and systematic factors affecting excess demand for IPO shares. This dissertation consists of two essays. The first presents the theoretical model ( the withdrawn IPO or WIPO model ). The second provides an empirical investigation of the WIPO model. In the WIPO model, the observed positive average IR is caused by the withdrawal of IPOs with a negative potential IR ( or negative excess demand ). The model proposes that if there is no possibility of withdrawal, the unconditional mean of IR is zero. The model can also explain the long-term underperformance and the hot/cold IPO markets. Other importants of the model are ; (1) IR is negatively related to the long -term performance, 9@) IR is positively related to excess demand, (3) {IR} is positively related to the level of heterogeneity of investors' valuations. The empirical research uses Dr. Craig Dunbar's IPO data set ( filling dates 1979-1982, offer dates 1979-1983 ) and the Securities Data Company data base ( offer dates 1988-1990 ). The results of the empirical research are generally consistent with the WIPO model. Withdrawn IPOs can expalin the observed positive average IR. However, the model can explain the long-term underperformance only until some time between one to thrre years after the offerin g date.The negative abnormal return beyond that period is left unexplained..1996
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| DMA 0009 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Pittsburgh: Graduate School of Business University of Pittsburgh 1996 |
|---|---|
| Edisi | - |
| Subjek | IPO |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |