文章基本信息

标题：Short and intermediate-term price performance of unseasoned issues
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作者：Muhammad Zubair Mumtaz ; Zachary Alexander Smith
期刊名称：Economia Aplicada
印刷版ISSN：1413-8050
电子版ISSN：1980-5330
出版年度：2018
卷号：21
期号：3
DOI：10.11606/1413-8050/ea140809
语种：Portuguese
出版社：Economia Aplicada
摘要：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 parameter.