کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
983298 | 1480466 | 2009 | 19 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Heterogeneous relationship between IPO return and risk across idiosyncratic variance characteristics Heterogeneous relationship between IPO return and risk across idiosyncratic variance characteristics](/preview/png/983298.png)
This paper analyzes the levels and changes in the post-IPO stock return volatility and provides insights into market responses to the presence of firm-specific risk. First, we document a negative relation between initial idiosyncratic volatility level and the post-IPO volatility change in that initially low volatility firms have more volatility increase and vice verse. This evidence suggests fundamental firm-specific changes after the IPO. Further, we find that underpricing and short-run post-IPO returns are positively related to the initial and corresponding idiosyncratic risk level. This finding suggests that underpricing compensates investors for acquiring costly information and firm-specific risk information is being incorporated into offer prices. Finally, we find that higher long-run post-IPO performance is related to both lower initial risk level and decreasing risk in the first year after the IPO.
Journal: The Quarterly Review of Economics and Finance - Volume 49, Issue 4, November 2009, Pages 1298–1316