Do IPOs Affect the Prices of Other Stocks? Evidence from Emerging Markets

• 成果类型: Article
• 署名作者: Braun, Matias; Larrain, Borja
• 署名单位: Pontificia Universidad Catolica de Chile
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn025
• 发表日期: 2009
• 页码: 1505
• 关键词: DEMAND CURVES; Investor protection; financial-markets; EQUITY MARKETS; cross-section; asset prices; returns; INFORMATION; industry; integration

摘要

We show that the introduction of a large asset permanently affects the prices of existing assets in a market. Using data from 254 initial public offerings (IPOs) in 22 emerging markets, we find that portfolios that covary highly with the IPO experience a decline in prices relative to other portfolios during the month of the issue. The effects are stronger when the IPO is issued in a market that is less integrated internationally and when the IPO is bigger. This evidence is consistent with the idea that shocks to asset supply have a significant effect on asset prices.