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首页> 外文学位 >On the relationship between IPO volume and underpricing. Identification of hot IPO markets using a bivariate regime switching model: Characterization of IPOs in hot markets.
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On the relationship between IPO volume and underpricing. Identification of hot IPO markets using a bivariate regime switching model: Characterization of IPOs in hot markets.

机译：关于IPO数量与定价偏低之间的关系。使用二元体制转换模型识别热门IPO市场：热门市场中IPO的特征。

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摘要

Chapter 1 of this dissertation investigates the bivariate time series behavior of industry-level quarterly Initial Public Offerings (IPO) volume and quarterly average IPO underpricing in the context of a bivariate Markov regime-switching model. The specification of our model allows us to objectively identify and date four regimes: Low Volume-Low Underpricing, High Volume-Low Underpricing, Low Volume-High Underpricing and High Volume-High Underpricing. We hypothesized that the regime High Volume-Low Underpricing is explained by a reduction in the level of asymmetry of information whereas the regime High Volume-High Underpricing is explained by an increase in the level of investor sentiment. We find that on the first half of the nineties all analyzed industries (with the exception of Depository Institutions) were in the regime High Volume-Low Underpricing whereas during the internet bubble period they were all in the regime High Volume-High Underpricing. Depository Institutions was in the regime High Volume-High Underpricing during the first half of the eighties a period that coincides with the deregulation of the banking sector.;Chapter 2 of this dissertation provides a characterization of IPOs in the two regimes associated to "hot markets" (High Volume-Low Underpricing and High Volume-High Underpricing). We concentrated our analysis in a group of variables that have been related in the IPO literature to the level of asymmetry of information surrounding an offering. These variables are: age of the issuing firm at the time of the IPO, size of the offering, offering price, price update and the presence of venture capital prior to the IPO. We find that some of the characteristics of issuing firms differ dramatically depending on the industry and on the regime. Also, we conduct a regression analysis to assess their explanatory power on the level of underpricing depending on the regimes and the industry. We find that the statistical significance and sign of the coefficients of the variables varies considerably depending on the industry and on the regime.
机译：本文的第一章研究了在双变量马尔可夫政权转换模型的背景下，行业水平的季度首次公开募股（IPO）量和季度平均IPO抑价的双变量时间序列行为。我们模型的规范使我们能够客观地识别和标出四个方案：低容量-低定价不足，高容量-低定价不足，低容量-高定价和高容量-定价偏低。我们假设，高交易量-低价抑价制度是通过减少信息的不对称程度来解释的，而高交易量-高价抑价制度是通过投资者情感水平的提高来解释的。我们发现，在90年代上半叶，所有分析的行业（存托机构除外）都处于高量低价抑价状态，而在互联网泡沫时期，它们都处于高量高价抑价状态。在八十年代上半叶，与银行业放松管制相吻合的时期，存托机构处于高额高价抑价制度。本文的第二章提供了与“热市场”相关的两种制度中的IPO的特征。 ”（大批量低定价和大批量高定价）。我们将分析集中在一组与IPO文献相关的变量中，这些变量与围绕发行的信息的不对称程度有关。这些变量是：首次公开发行时发行公司的年龄，发行规模，发行价格，价格更新以及首次公开发行之前存在的风险资本。我们发现，发行公司的某些特征因行业和制度而异。此外，我们进行回归分析，以根据制度和行业评估其在定价偏低水平上的解释力。我们发现，变量的系数的统计显着性和符号根据行业和体制而有很大不同。

著录项

  • 作者

    Tovar-Silos, Ricardo.;

  • 作者单位

    University of Houston.;

  • 授予单位 University of Houston.;
  • 学科 Economics Finance.
  • 学位 Ph.D.
  • 年度 2008
  • 页码 77 p.
  • 总页数 77
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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