Vdovychenko, Artem (2012): Динамика ликвидности на рынке первичных публичных размещений. Published in: Экономический журнал Высшей школы экономики , Vol. 4, No. 16 (2012): pp. 514-533.
Preview |
PDF
MPRA_paper_69428.pdf Download (469kB) | Preview |
Abstract
In this paper the author examines the impact specifics of underwriter’s support on the liquidity of IPO market. It is hypothesized that the activities of underwriter will have the greatest impact on liquidity for the market of so-called "tepid" offerings. To confirm the hypothesis dynamics of changes in IPO market liquidity for different offering types was measured. As a measure of liquidity the author used market depth, which was estimated with applying of a linear regression model. The derived results allow to confirm the hypothesis and to determine the approximate period of increasing transaction cost for traders on the market of initial public offerings. At the end of the article the author points out factors to be considered for further research and refinement of the already obtained results.
Item Type: | MPRA Paper |
---|---|
Original Title: | Динамика ликвидности на рынке первичных публичных размещений |
English Title: | Liquidity dynamics on initial public offerings market |
Language: | Russian |
Keywords: | IPO, liquidity, market depth, underwriter |
Subjects: | G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates G - Financial Economics > G2 - Financial Institutions and Services > G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies |
Item ID: | 69428 |
Depositing User: | Artem Mykolayovich Vdovychenko |
Date Deposited: | 11 Feb 2016 07:59 |
Last Modified: | 09 Oct 2019 07:27 |
References: | Цыплаков А. Экскурс в мир инструментальных переменных // Квантиль. 2007. №2. C. 21-47. Busaba W. Y., Chang C. Bookbuilding vs. fixed price revisited: The effect of aftermarket trading // Journal of Corporate Finance. 2010. Vol. 16. Issue 3. P. 370–381 Edwards A. K., Hanley K. W. Short Selling in Initial Public Offerings // Journal of Financial Economics. 2010. Vol. 98. Issue 1. P. 21–39. Ellis K., Michaely R., and O’Hara M. A Guide to the Initial Public Offering Process // Working Paper, Johnson Graduate School of Management, Cornell University,1999. Ellis K., Michaely R., and O’Hara M. The Making of a Dealer Market: From Entry to Equilibrium in the Trading of NASDAQ Stocks // Journal of Finance. 2002. Vol. 57. № 5. P. 2289-2316. Ellis K., Michaely R., and O’Hara M. When the Underwriter Is the Market Maker: An Examination of Trading in the IPO Aftermarket // The Journal of Finance. 2000. Vol. 55. № 3. P. 1039-1074. Ellul A., Pagano M. IPO underpricing and after-market liquidity // Review of Financial Studies. 2006. Vol. 19. № 2. P. 381-421. Glosten J. R., Harris L. E. Estimating the components of the bid/ask spread // Journal of Financial Economics. 1988. № 21. P. 123-142. Initial Public Offerings (IPO): An International Perspective of IPOs / ed. by G. N. Gregoriou. Butterworth-Heinemann, 2005. Hanley K. W., Arun K. A., Seguin P. J. Price stabilization in the market for new issues // Journal of Financial Economics. 1993. № 34. P. 177-197. Harris L. Trading and Exchanges: Market Microstructure for Practitioners. Oxford University Press, 2002. Hasbrouck J. Measuring the information content of stock trades // The Journal of Finance. 1991. № 46. P. 179-207. Hayashi F. Econometrics. Princeton University Press, 2000. Hess A. C., Frost P. A. Tests for price effects of new issues of seasoned securities // The Journal of Finance. 1982. Vol. 37. № 1. P. 11-25. Kempf A., Korn O. Market depth and order size // Journal of Financial Markets. 1999. Vol. 2. Issue 1. P. 29–48. Kyle A. S. Continuous Auctions and Insider Trading // Econometrica. 1985. Vol. 53. № 6. P. 1315-1335. Lee C. M. C., Ready M. J. Inferring Trade Direction from Intraday Data // The Journal of Finance. 1991. Vol. 46. № 2. P. 733-746. Miller R. E., Reilly F. K. An examination of mispricing, returns, and uncertainty for initial public offerings // Financial Management. 1987. Vol. 16. № 2. P. 33-38 Prabhala N. R., Puri M. How Does Underwriter Price Support Affect IPOs? Empirical Evidence // Working Paper, Yale School of Management, 1998. Schultz P., Zaman M. Aftermarket support and underpricing of initial public offerings // Journal of Financial Economics. 1994. № 35. P. 199–220. Securities Exchange Act of 1934, Release № 2446, 1940. Stoll H. R. The pricing of underwritten offerings of listed common stocks and the compensation of underwriters // Journal of Economics and Business. 1976. Vol. 28. P. 96-103. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/69428 |