کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
985880 1480893 2014 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
IPO first-day returns: Skewness preference, investor sentiment and uncertainty underlying factors
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
IPO first-day returns: Skewness preference, investor sentiment and uncertainty underlying factors
چکیده انگلیسی

In this paper, we investigate the initial public offering (IPO) first-day returns. Our focus is to examine the irrational component of the agent behavior towards IPO lotteries. Based on 234 French IPOs performed between 2002 and 2012, we find that IPOs with high initial returns have higher idiosyncratic skewness, turnover and momentum. This finding provides empirical evidence for investors' preference for stocks with lottery-like features and investor sentiment. In addition, we show that the skewness preference and the investor sentiment effect are stronger during periods of favorable market conditions. Our results are robust to the integration of uncertainty underlying factors.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Financial Economics - Volume 23, Issue 3, September 2014, Pages 148–154
نویسندگان
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