Initial Public Offerings as Lotteries: Skewness Preference and First-Day Returns
Initial Public Offerings as Lotteries: Skewness Preference and First-Day Returns
复制标题
DOI：
10.1287/mnsc.1110.1431
复制
发表时间：
2012-02
期刊：
影响因子：
--
通讯作者：
T. C. Green;Byoung-Hyoun Hwang;B. Barber;Teck-Hua Ho;Terrance Odean
中科院分区：
文献类型：
--
作者：
T. C. Green;Byoung-Hyoun Hwang;B. Barber;Teck-Hua Ho;Terrance Odean
我们发现，高预期偏度的首次公开募股（IPO）的经验显着更大的首日回报。偏度效应在投资者情绪高涨期间更强，并且与行业间偏度差异以及市场偏度水平的时间序列变化有关。预期偏度越高的IPO在未来1 ~ 5年内获得的负异常收益率越高。高预期偏度也与交易首日的小额交易比例较高有关，这与机构向个人的持股转移一致。结果表明，首日IPO收益率与偏度偏好有关。这篇论文被特刊编辑布拉德·巴伯、泰克·何和特伦斯·奥迪安接受。
We find that initial public offerings (IPOs) with high expected skewness experience significantly greater first-day returns. The skewness effect is stronger during periods of high investor sentiment and is related to differences in skewness across industries as well as to time-series variation in the level of skewness in the market. IPOs with high expected skewness earn more negative abnormal returns in the following one to five years. High expected skewness is also associated with a higher fraction of small-sized trades on the first day of trading, which is consistent with a greater shift in holdings from institutions to individuals. The results suggest that first-day IPO returns are related to a preference for skewness. This paper was accepted by Brad Barber, Teck Ho, and Terrance Odean, special issue editors.