作者：HuntMcCool, J; Koh, SC; Francis, BB
作者单位：University of North Carolina; University of North Carolina Charlotte
摘要：We reevaluate the IPO underpricing phenomenon using the stochastic frontier methodology. The advantage of the stochastic frontier is that it can be used to measure the level of deliberate underpricing in the premarket without using after-market information. This is accomplished through the estimation of a systematic one-sided error term that measures ''inefficiency'' or the difference between the maximum predicted offer price and the actual offer price. Data for the analysis are comprised of 1...
作者：Lamoureux, CG; Zhou, GF
作者单位：Washington University (WUSTL)
摘要：Within the past few years several articles have suggested that returns on large equity portfolios may contain a significant predictable component at horizons 3 to 6 years. Subsequently, the tests used in these analyses have been criticized (appropriately)for having widely misunderstood size and power, rendering the conclusions inappropriate. This criticism however has not focused on the data, it addressed the properties of the tests. In this article we adopt a subjectivist analysis - treating ...
