SPAC IPO waves

被引：12

作者：

Blomkvist, Magnus ^{[1
]}

Vulanovic, Milos ^{[2
,3
]}

机构：

[1] Audencia Business Sch, Nantes, France

[2] EDHEC Business Sch, Roubaix, France

[3] EDHEC Business Sch, Dept Data Sci Econ & Finance, 24 Ave Gustave Delory CS 50411, F-59057 Roubaix, France

来源：

ECONOMICS LETTERS | 2020年 / 197卷

关键词：

IPO; SPACs; Time-varying risk aversion; Uncertainty; Variance risk premium; VIX; PURPOSE ACQUISITION COMPANIES; RISK;

D O I：

10.1016/j.econlet.2020.109645

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine the wave pattern of U.S. SPAC IPOs using a hand-collected data set of the entire SPAC population since their emergence in 2003. We find that both the SPAC volume and SPAC share of total IPOs are negatively related to market-wide uncertainty (VIX) and time-varying risk aversion (variance risk premium). We attribute our findings to risk-averse investors' reluctancy to invest in opaque securities. In response, the SPAC sponsor can credibly signal the issue's quality by increasing their "skin in the game'' through the purchase of additional warrants. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：4

共 12 条

[1] Expected Stock Returns and Variance Risk Premia [J].