Share price and mortality: An empirical evaluation of newly listed NASDAQ stocks

• 成果类型: Article
• 署名作者: Seguin, PJ; Smoller, MM
• 署名单位: Wayne State University; University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(97)00019-6
• 发表日期: 1997
• 页码: 333-363
• 关键词: IPOs; Nasdaq; share price; market efficiency; distress

摘要

We examine a sample of 5896 stocks listed on Nasdaq between 1974 and 1988 to see whether the price per share has significant statistical power in forecasting subsequent returns and attrition rates. Consistent with anecdotal evidence, we document a higher mortality rate for lower-priced stocks than for higher-priced issues. Surprisingly, mortality is not related to market capitalization. Our results also hold for subsamples partitioned by industry and issue year. On average, investors are not adequately compensated for this additional mortality risk, earning lower risk-adjusted rates of return on portfolios of lower-priced shares than on portfolios of higher-priced shares.