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- Title
SHORT AND INTERMEDIATE-TERM PRICE PERFORMANCE OF UNSEASONED ISSUES.
- Authors
MUMTAZ, MUHAMMAD ZUBAIR; SMITH, ZACHARY ALEXANDER
- Abstract
The researchers examined the short-term and intermediate-term price performance of unseasoned issues during the period lasting from 1995 to 2014. We find that new issues, on average, are underpriced on listing day and obtain significant abnormal returns up to fifteen trading days. In case of intermediate-term performance, investors yield positive abnormal returns for the first two months of trading but not thereafter. We employ Extreme Bounds Analysis, Lasso Regression, and Stepwise Regression to select the determinant factors of short-term and intermediate-term performance and find that each econometric method has its own build-in specifications and characteristics to identify the best parameters.
- Subjects
PRICES; EXTREME bounds analysis (Economics); SHORT-term trusts; INVESTORS; ABNORMAL returns; ECONOMETRIC models
- Publication
Brazilian Journal of Applied Economics / Economía Aplicada, 2017, Vol 21, Issue 3, p549
- ISSN
1413-8050
- Publication type
Article
- DOI
10.11606/1413-8050/ea140809