کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9731468 1480484 2005 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Price support and spreads in the IPO aftermarket: An empirical microstructure study
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Price support and spreads in the IPO aftermarket: An empirical microstructure study
چکیده انگلیسی
Using the inventory components of spreads as a measure of inventory holding-risk, we test the hypothesis of Hanley et al. [Hanley, K. W., Kumar, A., & Seguin, P. J. (1993). Price stabilization in the market for new issues. Journal of Financial Economics, 34, 177-197] that price supports reduce market makers' inventory holding-risk in the aftermarket of initial public offerings (IPOs). We find that both spreads and their inventory components are significantly smaller in the earlier periods of the IPO aftermarket than those in the later periods. More importantly, the inventory components of spreads are significantly smaller for stocks without over-allotment options (OAOs) exercised, and for stocks with lower or negative initial returns which are more likely to have price supports. The results are consistent with the price support hypothesis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 45, Issues 4–5, September 2005, Pages 748-766
نویسندگان
, ,