원문정보
초록
영어
I test whether there is a difference in the level of efficiency between IPO stocks and a matched sample of seasoned stocks. My findings show that IPO stocks are less efficient than seasoned stocks during my testing period of 175 trading days. I attribute the lower level of efficiency for my testing period to the higher amount of information asymmetry inherent in IPO stocks. I contend that the presence (or quality) of financial intermediaries is related to the level of information asymmetry for IPO stocks. Consistent with this argument, I find that IPOs with prestigious underwriters, with venture capital backing, or with large managing syndicates have a higher level of efficiency than IPOs with less prestigious underwriters, no venture capital backing, or small managing syndicates. Finally, I show that stocks with higher levels of efficiency have higher long-run performance, consistent with efficient stock prices being an important input for firms to make sound financing and investment decisions.
목차
1. Literature review and hypothesis development
1.1. Why IPO stocks should be less efficient than seasoned stocks
1.2. Why IPO stocks should be more efficient than seasoned stocks
1.3. Financial intermediaries and price efficiency
1.4. The long-term firm performance and price efficiency
2. Sample description and measure of efficiency
3. Empirical Results
3.1. Regression analysis of IPO vs. Seasoned stocks
3.2. Do financial intermediaries enhance the efficiency of IPO stocks?
4. How is efficiency related to long-term performance of IPO firms?
4.1 Can the SDPE predict the probability of delisting due to poor performance?
5. Robustness
5.1 Other efficiency measures
5.2 The results using alternative efficiency measures
6. Are better intermediaries bringing IPO firms to the market more likely to have efficient stock prices?
7. How does price support by the underwriter affect the price efficiency?
8. Calendar time event study approach using one-way and two-way classifications
8.1. How to estimate long-term abnormal returns
8.2. Empirical results
8.3. Does price efficiency of IPO stocks forecast long-term abnormal returns?
9. Conclusions
Appendix
References