원문정보
초록
영어
This paper examines the impact of expected skewness on IPO underpricing based on a comprehensive set of 17,051 IPOs from 23 countries between 1990 and 2013. We find that IPOs with high expected skewness have significantly higher first-day return around the world, confirming the previous results based on U.S. IPOs. Such preference for skewness remains robust to estimation method or portfolio formation and is more pronounced in countries with relatively higher gambling propensity, a larger number of non-religious populations, and more individualistic culture. Finally, IPOs with high expected skewness underperform those with low expected skewness. Our results provide additional empirical support for skewness preference and pricing of lottery type assets in an international setting.
목차
Abstract
1. Introduction
2. Data
2.1. IPO sample selection
2.2. Stock return filters and country-level variables
2.3. Variable description
2.4. Summary statistics
3. Results
3.1. Portfolio analyses
3.2. Multivariate analysis
4. Cultural Dimensions: The Effect of Gambling Tendencies
5. Additional Evidence
5.1. Robustness tests
5.2. Long-term performance
6. Conclusion
References