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Forecasting aggregate stock returns using the number of initial public offerings as a predictor

Author

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  • Gueorgui I. Kolev

    (Department of Economics and Business, Universitat Pompeu Fabra)

Abstract

Large number of Initial Public Offerings (IPOs) reliably predicts subsequent low equally weighted aggregate stock returns and the return differential between small and big firms, both in-sample and out-of-sample. The forecasting patterns are consistent with a behavioral story featuring investor sentiment and limits to arbitrage.

Suggested Citation

  • Gueorgui I. Kolev, 2008. "Forecasting aggregate stock returns using the number of initial public offerings as a predictor," Economics Bulletin, AccessEcon, vol. 7(13), pages 1-8.
    • Handle: RePEc:ebl:ecbull:eb-08g10009
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    File URL: http://www.accessecon.com/pubs/EB/2008/Volume7/EB-08G10009A.pdf
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    References listed on IDEAS

    as
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    7. Malcolm Baker & Ryan Taliaferro & Jeffrey Wurgler, 2006. "Predicting Returns with Managerial Decision Variables: Is There a Small‐Sample Bias?," Journal of Finance, American Finance Association, vol. 61(4), pages 1711-1730, August.
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    Cited by:

    1. Kolev, Gueorgui I. & Karapandza, Rasa, 2017. "Out-of-sample equity premium predictability and sample split–invariant inference," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 188-201.

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    More about this item

    Keywords

    Initial Public Offerings;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G3 - Financial Economics - - Corporate Finance and Governance

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