The Determinants of IPO Initial Returns: Application of Quantile Regression
| Autor: | Jung-Cheng Chen, 陳忠誠 |
|---|---|
| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 FIRST This paper investigates the affecting factors of underpricing in China’s A-share initial public offering (IPO) during the period of 1993-2006. Total sample is 1249 A-share stocks. Compare to prior literatures, this paper has several features as follows. First, given the phenomenon of extremely right-skewed of sample data, and the relationship between dependent and independent variables has occurred structural change, this paper tries to apply Quantile Regression (QR) method for avoiding the bias of estimate. In our paper, we find that there are various differences between ordinary least squares (OLS) and QR method. This means the results estimated by OLS may have some bias. Second, this paper tries to employ the market adjusted initial return as dependent variables and find that for the higher initial return of A-share stocks, when the market index increase, the raw initial returns will increase and the increasing range is higher than the market index. Third, we also regard “Macro Regulation and Control ”, “Reformation of Offering Price Model”, “Offshore B-share at same time” as the important factors in A-share initial public offering (IPO). Second This paper investigates the affecting factors of long-run performance in initial public offering (IPO) during the period of 1990-2005. Total sample is 4756 IPOs stocks. Compare to prior literatures, this paper has several features as follows. First, given the phenomenon of extremely right-skewed of sample data, and the relationship between dependent and independent variables has occurred structural change, this paper tries to apply Quantile Regression (QR) method for avoiding the bias of estimate. In our paper, we find that there are various differences between ordinary least squares (OLS) and QR method. This means the results estimated by OLS may have some bias. Second, we also regard “Did the firms issue offshore shares ”, “Did the IPO take place during the period of bubble”, “Did the IPO take place during the period of 911” as the important factors in long-run performance of IPO. And we find that “Did the firms issue offshore shares” (Offshore) is insignificantly positive related to 3-years return; long-run performance of IPO is decreasing during the period of bubble; Finally, 3-years return is gradually increasing during the period of 911, but the reason is described in our paper. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|