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Modelling the Behaviour of the New Issue Market

Brailsford, Tim; Heaney, R.A; Shi, Jing

Description

This paper analyses the time-series behaviour of the new issue market in the context of an equilibrium model of demand and supply for IPOs. The model produces testable equations examining the relationship between the number of new issues and the average level of under-pricing, and also incorporates the impact of general market conditions. The model proposes that, first, serial correlation will be evident in both the number of new issues and the average level of under-pricing. Second, market...[Show more]

CollectionsANU Research Publications
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/40669
http://digitalcollections.anu.edu.au/handle/1885/40669
Source: International Review of Financial Analysis
DOI: 10.1016/j.irfa.2004.02.001

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