Hot markets, underpricing and underperformance : IPO anomalies under the light of modern risk factors

Fauchery, Clémentine (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland) ; Masset, Philippe (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland) ; Weisskopf, Jean-Philippe (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland)

This paper investigates to which extent multifactor asset pricing models can explain the pricing of IPOs in the U.S. market between 1980 and 2015. The paper contributes to the existing literature by demonstrating that the hot market, the underpricing and the underperformance issues can be explained by the general trends and the intensities of various risk factors. We analyse the latter based on the expectation that the number of IPOs, the underpricing and the underperformance are higher when the global economy performs well. In the cases of the hot market and the underpricing, the risk factors are correlated consistently to expectations. However, this is not always the case for IPO underperformance for which coefficients differ from expectations. Finally, the risk factors identified as main predictors differ for the three IPO anomalies.


Mots-clés:
Type de conférence:
full paper
Ecole:
EHL Ecole hôtelière de Lausanne
Classification:
Economie/gestion
Adresse bibliogr.:
Paris, France, 22-24 May 2018
Date:
Paris, France
22-24 May 2018
2018
Pagination:
41 p.
Publié dans
Proceedings of the 35th Annual Conference of the French Finance Association (AFFI), 2018
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 Notice créée le 2018-06-14, modifiée le 2018-10-31

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