Information Risk and Long-Run Performance of Initial Public Offerings
出版社 Gabler
DOI 10.1007/978-3-8349-8117-2
版权 2009
ISBN 978-3-8349-1259-6 (Print) 978-3-8349-8117-2 (Online)
学科分类 商业和经济
学科 Economics/Management Science and Finance /Banking
SpringerLink Date 2009年2月14日
Contents
Foreword v
Foreword vii
Preface ix
List of Tables xiii
List of Figures xv
Symbols and Abbreviations xvii
1 Introduction and Motivation 1
2 Valuation under Information Risk 7
2.1 Classification of information risk . . . . . . . . . . . . . . . . . . . . . . 7
2.2 Empirical measurement of information risk . . . . . . . . . . . . . . . . 8
2.3 Conceptual consequences of the introduction of information risk . . . . 12
3 Derivation of a Returns-Based Measure of Information Quality 15
4 Abnormal Returns Measurement and Hypotheses Development 25
4.1 Methodological issues in long-term abnormal returns measurement . . . 25
4.1.1 What return is normal? . . . . . . . . . . . . . . . . . . . . . . 25
4.1.2 Choosing the rightmetric . . . . . . . . . . . . . . . . . . . . . 33
4.1.3 Event-time vs. calendar-time approaches . . . . . . . . . . . . . 37
4.1.4 Concluding remarks and problems discussion . . . . . . . . . . . 40
4.2 Explaining abnormal IPO performance . . . . . . . . . . . . . . . . . . 43
5 Tests with Abnormal Portfolio Returns 51
5.1 Construction of the IPO sample . . . . . . . . . . . . . . . . . . . . . . 51
xii Table of Contents
5.2 Calendar-time portfolios from the full IPO sample . . . . . . . . . . . . 55
5.3 Persistence tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
5.4 Deviation tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
5.4.1 Main results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
5.4.2 The role of size . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
5.4.3 Analysis of subperiods . . . . . . . . . . . . . . . . . . . . . . . 83
6 Robustness Tests 85
6.1 Varying the calendar-time approach . . . . . . . . . . . . . . . . . . . . 85
6.2 Firm-specific tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
6.2.1 Deviation and IPO firmcharacteristics . . . . . . . . . . . . . . 89
6.2.2 Firm-specific abnormal return and size . . . . . . . . . . . . . . 91
6.2.3 Firm-specific abnormal return and operating performance . . . . 92
6.3 Further Robustness Tests . . . . . . . . . . . . . . . . . . . . . . . . . . 93
7 Concluding Remarks 97
Appendix 99
Bibliography 127

顶了