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Initial public offerings as lotteries / T. Clifton Green in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 432-444 Titre : Initial public offerings as lotteries : Skewness preference and first-day returns Type de document : texte imprimé Auteurs : T. Clifton Green, Auteur ; Byoung-Hyoun Hwang, Auteur Année de publication : 2012 Article en page(s) : pp. 432-444 Note générale : Management Langues : Anglais (eng) Mots-clés : Lotteries  Skewness  preference  IPO  underpricing Résumé : 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. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/432.abstract [article] Initial public offerings as lotteries : Skewness preference and first-day returns [texte imprimé] / T. Clifton Green, Auteur ; Byoung-Hyoun Hwang, Auteur . - 2012 . - pp. 432-444. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 432-444 Mots-clés : Lotteries  Skewness  preference  IPO  underpricing Résumé : 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. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/432.abstract