Short and intermediate-term price performance of unseasoned issues
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Economia Aplicada |
Texto Completo: | https://www.revistas.usp.br/ecoa/article/view/139786 |
Resumo: | The researchers examined the short-term and intermediate-term price performance of unseasoned issues during the period lasting from 1995 to 2014. We find that new issues, on average, are underpriced on listing day and obtain significant abnormal returns up to fifteen trading days. In case of intermediate-term performance, investors yield positive abnormal returns for the first two months of trading but not thereafter. We employ Extreme Bounds Analysis, Lasso Regression, and Stepwise Regression to select the determinant factors of short-term and intermediate-term performance and find that each econometric method has its own build-in specifications and characteristics to identify the best parameter. |
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USP-21 |
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Economia Aplicada |
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Short and intermediate-term price performance of unseasoned issuesShort and intermediate-term price performance of unseasoned issuesUnseasoned issuesPrice performanceShort-termIntermediate-termExtreme Bounds Analysis.Ofertas públicasPerformance de preçoCurto prazoMé- dio prazoAnálise de limites extremosThe researchers examined the short-term and intermediate-term price performance of unseasoned issues during the period lasting from 1995 to 2014. We find that new issues, on average, are underpriced on listing day and obtain significant abnormal returns up to fifteen trading days. In case of intermediate-term performance, investors yield positive abnormal returns for the first two months of trading but not thereafter. We employ Extreme Bounds Analysis, Lasso Regression, and Stepwise Regression to select the determinant factors of short-term and intermediate-term performance and find that each econometric method has its own build-in specifications and characteristics to identify the best parameter.Avaliamos o desempenho de preços no curto e médio prazo de ofertas públicas iniciais no período de 1995 a 2014. Encontramos que as novas emissões, em média, são subavaliadas no dia de listagem e obtêm retornos anormais significativos até os quinze dias de negociação. No caso do desempenho a médio prazo, os investidores obtêm retornos positivos anormais para, no máximo, dois meses de negociação. Utilizamos análise de limites extremos, regressão lasso e regressão passo a passo para selecionar os fatores determinantes do desempenho a curto e médio prazo. Cada método econométrico possui suas próprias especificações e características para identificar os melhores parâmetrosUniversidade de São Paulo, FEA-RP/USP2017-09-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/13978610.11606/1413-8050/ea140809Economia Aplicada; Vol. 21 No. 3 (2017); 549-579Economia Aplicada; Vol. 21 Núm. 3 (2017); 549-579Economia Aplicada; v. 21 n. 3 (2017); 549-5791980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ecoa/article/view/139786/139402Copyright (c) 2017 Economia Aplicadainfo:eu-repo/semantics/openAccessMumtaz, Muhammad ZubairSmith, Zachary Alexander2020-08-05T08:47:38Zoai:revistas.usp.br:article/139786Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-09-13T12:17:09.901517Economia Aplicada - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Short and intermediate-term price performance of unseasoned issues Short and intermediate-term price performance of unseasoned issues |
title |
Short and intermediate-term price performance of unseasoned issues |
spellingShingle |
Short and intermediate-term price performance of unseasoned issues Mumtaz, Muhammad Zubair Unseasoned issues Price performance Short-term Intermediate-term Extreme Bounds Analysis. Ofertas públicas Performance de preço Curto prazo Mé- dio prazo Análise de limites extremos |
title_short |
Short and intermediate-term price performance of unseasoned issues |
title_full |
Short and intermediate-term price performance of unseasoned issues |
title_fullStr |
Short and intermediate-term price performance of unseasoned issues |
title_full_unstemmed |
Short and intermediate-term price performance of unseasoned issues |
title_sort |
Short and intermediate-term price performance of unseasoned issues |
author |
Mumtaz, Muhammad Zubair |
author_facet |
Mumtaz, Muhammad Zubair Smith, Zachary Alexander |
author_role |
author |
author2 |
Smith, Zachary Alexander |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Mumtaz, Muhammad Zubair Smith, Zachary Alexander |
dc.subject.por.fl_str_mv |
Unseasoned issues Price performance Short-term Intermediate-term Extreme Bounds Analysis. Ofertas públicas Performance de preço Curto prazo Mé- dio prazo Análise de limites extremos |
topic |
Unseasoned issues Price performance Short-term Intermediate-term Extreme Bounds Analysis. Ofertas públicas Performance de preço Curto prazo Mé- dio prazo Análise de limites extremos |
description |
The researchers examined the short-term and intermediate-term price performance of unseasoned issues during the period lasting from 1995 to 2014. We find that new issues, on average, are underpriced on listing day and obtain significant abnormal returns up to fifteen trading days. In case of intermediate-term performance, investors yield positive abnormal returns for the first two months of trading but not thereafter. We employ Extreme Bounds Analysis, Lasso Regression, and Stepwise Regression to select the determinant factors of short-term and intermediate-term performance and find that each econometric method has its own build-in specifications and characteristics to identify the best parameter. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-09-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/ecoa/article/view/139786 10.11606/1413-8050/ea140809 |
url |
https://www.revistas.usp.br/ecoa/article/view/139786 |
identifier_str_mv |
10.11606/1413-8050/ea140809 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/ecoa/article/view/139786/139402 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2017 Economia Aplicada info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2017 Economia Aplicada |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo, FEA-RP/USP |
publisher.none.fl_str_mv |
Universidade de São Paulo, FEA-RP/USP |
dc.source.none.fl_str_mv |
Economia Aplicada; Vol. 21 No. 3 (2017); 549-579 Economia Aplicada; Vol. 21 Núm. 3 (2017); 549-579 Economia Aplicada; v. 21 n. 3 (2017); 549-579 1980-5330 1413-8050 reponame:Economia Aplicada instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Economia Aplicada |
collection |
Economia Aplicada |
repository.name.fl_str_mv |
Economia Aplicada - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
||revecap@usp.br |
_version_ |
1800221695648202752 |