Characterizing the Risk of IPO Long-Run Returns: The Impact of Momentum, Liquidity, Skewness, and Investment

被引：15

作者：

Carter, Richard B. ^{[1
]}

Dark, Frederick H. ^{[1
]}

Floros, Ioannis V. ^{[1
]}

Sapp, Travis R. A. ^{[1
]}

机构：

[1] Iowa State Univ, Dept Finance, Ames, IA 50011 USA

来源：

FINANCIAL MANAGEMENT | 2011年 / 40卷 / 04期

关键词：

INITIAL PUBLIC OFFERINGS; PERFORMANCE; HETEROSKEDASTICITY; PREFERENCE;

D O I：

10.1111/j.1755-053X.2011.01171.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study 6,686 initial public offerings (IPOs) spanning the period 1981-2005 and find that the new issues puzzle disappears in a Fama-French three-factor framework. IPOs do not underperform in the aftermarket on a risk-adjusted basis and do not underperform a matched sample of nonissuers. IPO underperformance is concentrated in the 1980s and early 1990s, and IPOs either perform the same as the market or outperform on a risk-adjusted basis from 1998 to 2005. We find that outperformance in the later period is driven by large firms. Factors for momentum, investment, liquidity, and skewness help to explain aftermarket returns, although size and book-to-market tend to proxy for skewness. IPO investors receive smaller expected returns due to negative momentum and investment exposure and in exchange for higher liquidity.

引用

页码：1067 / 1086

页数：20

共 28 条

[1] Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture and nonventure capital-backed companies [J].