Cycles in the IPO market

• 成果类型: Article
• 署名作者: Yung, Chris; Colak, Goenuel; Wang, Wei
• 署名单位: University of Colorado System; University of Colorado Boulder; State University System of Florida; Florida State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.06.007
• 发表日期: 2008
• 页码: 192-208
• 关键词: initial public offerings; adverse selection; Underpricing; delisting rates; cross-sectional return variance

摘要

We develop a model in which time-varying real investment opportunities lead to time-varying adverse selection in the market for IPOs. The model is consistent with several stylized facts known about the IPO market: economic expansions are associated with a dramatic increase in the number of firms going public, which is in turn positively correlated with underpricing. Adverse selection is procyclical in the sense that dispersion in unobservable quality across firms should be more pronounced during booms. Taking the premise that uncertainty is resolved (and thus private information revealed) over time, we test this hypothesis by looking at long-rum abnormal returns and delisting rates. Consistent with the model, we find (a) greater cross-sectional return variance, and (b) higher incidence of delisting for hot-market IPOs. (C) 2008 Elsevier B.V. All Rights reserved.