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Characterizing the Risk of IPO Long‐Run Returns: The Impact of Momentum, Liquidity, Skewness, and Investment
16 references·2 citing·32 second hopsampled
Characterizing the Risk of IPO Long‐Run Returns: The Impact of Momentum, Liquidity, Skewness, and Investment (2011)Characterizing the Risk of IPO Long‐Run R…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…A Review of IPO Activity, Pricing, and Allocations (2002)A Review of IPO Activity, Pri…Uniformly least powerful tests of market efficiency (2000)Uniformly least powerful test…Managerial Decisions and Long‐Term Stock Price Performance (2000)Managerial Decisions and Long…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Improved Methods for Tests of…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies (1997)Myth or Reality? The Long-Run…The New Issues Puzzle (1995)The New Issues PuzzleCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Long‐Run Performance of initial Public Offerings (1991)The Long‐Run Performance of i…The Long-Run Performance of Initial Public Offerings (1991)The Long-Run Performance of I…Initial Public Offerings and Underwriter Reputation (1990)Initial Public Offerings and …SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…On post-IPO stock price performance: A comparative analysis of RLBOs and IPOs (2015)On post-IPO stock price perfo…Global diversification and IPO returns (2015)Global diversification and IP…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)Theory of Rational Option Pricing (1973)INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)OVERCOMING THE LIABILITY OF FOREIGNNESS. (1995)Underwriter Reputation, Initial Returns, and the Long‐Run Performance of IPO Stocks (1998)Why Has IPO Underpricing Changed Over Time (2004)Theory of rational option pricing (2005)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Does the Stock Market Overreact? (1985)INITIAL PUBLIC OFFERINGS (1988)Event Studies in Economics and Finance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The relationship between return and market value of common stocks (1981)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Influencing Initial Public Offering Investors with Prestige: Signaling with Board Structures (2003)In Search of Attention (2011)Investor Psychology and Asset Pricing (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Presidential Address: Discount Rates (2011)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Multifactor Explanations of Asset Pricing Anomalies (1996)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995The New Issues Puzzle3,550 cited
  • 1991The Long‐Run Performance of initial Public Offerings3,500 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,572 cited
  • 2002A Review of IPO Activity, Pricing, and Allocations2,452 cited
  • 1990Initial Public Offerings and Underwriter Reputation2,442 cited
  • 1999Improved Methods for Tests of Long‐Run Abnormal Stock Returns1,826 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 2000Managerial Decisions and Long‐Term Stock Price Performance1,573 cited
  • 1997Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies

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1,456 cited
  • 2000Uniformly least powerful tests of market efficiency839 cited
  • 1991The Long-Run Performance of Initial Public Offerings779 cited
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    • 2015Global diversification and IPO returns18 cited
    • 2015On post-IPO stock price performance: A comparative analysis of RLBOs and IPOs14 cited