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Ipo Initial Returns And Volatility: A Study In An Emerging Market

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  • Mike Siew Wei Leong
  • Sheela Devi Sundarasen

Abstract

This study examines the impact of firm characteristics, signaling variables and financial variables on IPO initial returns and the volatility of initial returns. Hierarchical regression is first performed on all the three blocks of variables, after which a stepwise regression is executed to further test on the significance of the relationship amongst the respective individual variables. The results designate differences in the relationship between firm characteristics, signaling variables and financial variables on IPO initial returns and the volatility of initial returns. It is conjectured that oversubscription of IPOs have a positive impact on the initial returns, whilst prospective dividend yield has a negative impact on the volatility of IPOs’ initial returns

Suggested Citation

  • Mike Siew Wei Leong & Sheela Devi Sundarasen, 2015. "Ipo Initial Returns And Volatility: A Study In An Emerging Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(3), pages 71-82.
    • Handle: RePEc:ibf:ijbfre:v:9:y:2015:i:3:p:71-82
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    References listed on IDEAS

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    Cited by:

    1. Karanović Goran & Karanović Bisera, 2016. "IPOs Performance Analysis: Evidence from Emerging Markets in the Balkans," Scientific Annals of Economics and Business, Sciendo, vol. 63(3), pages 381-389, November.
    2. Goran KARANOVIĆ & Bisera KARANOVIĆ, 2016. "IPOs PERFORMANCE ANALYSIS: EVIDENCE FROM EMERGING MARKETS IN THE BALKANS," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 63(3), pages 381-389, November.
    3. Sheena Chhabra & Ravi Kiran, 2022. "Impact of information on winners' curse and long run performance of initial public offerings," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 975-992, January.

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    More about this item

    Keywords

    IPO; Initial Returns; Volatility of Initial Returns;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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