IPOs in the U.S. from 2005 to 2015: Using the Spline Regression Technique to Estimate Aggregate Issuance and Performance
Journal Title: Finance a uver - Year 2018, Vol 68, Issue 2
Abstract
The objective of this paper was to explore the relationship between IPO returns and performance on the U.S. Equity Exchanges from 2005 to 2015. To conduct this analysis, we used two independently drawn samples, a primary sample, which ran from 2005 to 2015 and, an out of sample comparison, which ran from 1996 to 2008. While conducting our analyses we incorporated a new heat variable and compared its ability to describe aggregate issuance and performance against a standard heat variable, we illustrated how events can affect IPO issuance and performance and incorporated those events into a model of performance and volume, and to incorporate these events into our models we integrated the spline regression technique into our model, which improved the fit of our model substantially over methods that could be seen as alternative modeling techniques. We believe that our use of events in the modeling process provides a more accurate representation of the underlying dynamics of the processes that are causing changes in IPO performance and issuance and that our application of the spline regression technique to model IPO performance and issuance provides researchers with an important tool that could help them to better estimate, model, and understand the true determinates of IPO performance and issuance.
Authors and Affiliations
Zachary Alexander Smith, Muhammad Zubair Mumtaz
Keywords
Related Articles
- EP ID EP544356
- DOI -
- Views 136
- Downloads 0
The Effects of the Euro Area Entrance on the Monetary Transmission Mechanism in Slovakia in Light of the Global Economic Recession
In this paper we estimate the monetary policy reaction function of the National Bank of Slovakia and the possible impact of an independent monetary policy on the Slovak economy in 2009 and 2010, when the global economic...
Improving Bankruptcy Prediction in Micro-Entities by Using Nonlinear Effects and Non-Financial Variables
The use of non-parametric methodologies, the introduction of non-financial variables, and the development of models geared towards the homogeneous characteristics of corporate sub-populations have recently experienced a...
Expectations and Central Banks' Forecasts: The Experience of Chile, Colombia, Mexico, Peru and the United Kingdom, 2004 – 2014
The paper tests the hypotheses associated to whether or not the publication of central banks’ forecasts (and subsequent media-diffusion efforts) affects the professional forecasters’ expectations in terms of both their c...
Systemic Sovereign Risk and Asset Prices: Evidence from the CDS Market, Stressed European Economies and Nonlinear Causality Tests
This empirical study attempts to measure the direction of effects related to systemic sovereign risk (i.e. proxied by CDS prices) on a number of asset prices in four heavily stressed European economies: Greece, Ireland,...
Self-selection Bias and the Listing Status of Target Firms: Value Effects in the Spanish Market
As corporate announcement decisions are non–random events, standard OLS estimations must be corrected for the self–selection bias. In the M&A field several studies suggest that previous evidence on univariate analysis of...