IPO first-day returns, offer price revisions, volatility, and form S-1 language

• 成果类型: Article
• 署名作者: Loughran, Tim; McDonald, Bill
• 署名单位: University of Notre Dame
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.02.017
• 发表日期: 2013
• 页码: 307-326
• 关键词: IPOs; First-day returns; Bookbuilding; S-1 filings; Textual analysis

摘要

Form S-1 is the first SEC filing in the initial public offering (IPO) process. The tone of the S-1, in terms of its definitiveness in characterizing the firm's business strategy and operations, should affect investors' ability to value the IPO. We find that IPOs with high levels of uncertain text have higher first-day returns, absolute offer price revisions, and subsequent volatility. Our findings provide empirical evidence for the theoretical models of uncertainty, bookbuilding, and prospect theory. (C) 2013 Elsevier BAT. All rights reserved.