Hot and Cold IPO Markets: Identification Using a Regime Switching Model

Simple item page
dc.contributor.authorBrailsford, Timothy J
dc.contributor.authorHeaney, Richard
dc.contributor.authorPowell, John G
dc.contributor.authorShi, Jing
dc.date.accessioned2023-01-30T00:53:57Z
dc.date.issued2000
dc.date.updated2021-11-28T07:38:16Z
dc.description.abstractThe market for unseasoned equity has the unusual and distinguishing feature of periods of concentrated activity in terms of both volume and underpricing. This paper formally documents the existence of such periods using a regime-switching model that dates transitions between hot and cold states. A number of hot periods are identified over a 20-year period using a variety of IPO activity measures that capture different aspects of new issue volume, proceeds and underpricing. The study further documents a leading relationship between underpricing and IPO volume of up to six months. This relationship supports the contention that the decision to issue is a function of current underpricing. Various reasons are hypothesised for this result and the paper finds supportive evidence through a VAR analysis that reveals the influence of stock market and business conditions. The results have implications for the information contained in current market conditions and the role of issuers, underwriters and investors (JEL Gl2, Gl4, G32).en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn1096-1879en_AU
dc.identifier.urihttp://hdl.handle.net/1885/284039
dc.language.isoen_AUen_AU
dc.publisherMultinational Finance Societyen_AU
dc.rights© 2000 Multinational Finance Societyen_AU
dc.sourceMultinational Finance Journalen_AU
dc.subjecthot issuesen_AU
dc.subjectIPOsen_AU
dc.subjectregime-switchingen_AU
dc.subjectstock marketen_AU
dc.subjectunseasoned issuesen_AU
dc.titleHot and Cold IPO Markets: Identification Using a Regime Switching Modelen_AU
dc.typeJournal articleen_AU
local.bibliographicCitation.issue1-2en_AU
local.bibliographicCitation.lastpage68en_AU
local.bibliographicCitation.startpage35en_AU
local.contributor.affiliationBrailsford, Timothy J, College of Business and Economics, ANUen_AU
local.contributor.affiliationHeaney, Richard, College of Business and Economics, ANUen_AU
local.contributor.affiliationPowell, John G, Massey Universityen_AU
local.contributor.affiliationShi, Jing, College of Business and Economics, ANUen_AU
local.contributor.authoremailrepository.admin@anu.edu.auen_AU
local.contributor.authoruidBrailsford, Timothy J, u9612223en_AU
local.contributor.authoruidHeaney, Richard, u8600696en_AU
local.contributor.authoruidShi, Jing, u9702681en_AU
local.description.embargo2099-12-31
local.description.notesImported from ARIESen_AU
local.identifier.absfor350200 - Banking, finance and investmenten_AU
local.identifier.ariespublicationu9702681xPUB7en_AU
local.identifier.citationvolume4en_AU
local.identifier.uidSubmittedByu9702681en_AU
local.publisher.urlhttp://www.mfsociety.org/page.php?pageID=159&expandable=1en_AU
local.type.statusPublished Versionen_AU

Downloads

Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
Hot and Cold IPO Markets.pdf
Size:
4.9 MB
Format:
Adobe Portable Document Format
Description:
Download

Collections

ANU Research Publications

DSpace software copyright © 2002-2024 LYRASIS