The IPO initial returns-aftermarket risk question revisited: evidence from firms in Taiwan
The purpose of this study is to utilize the Three Stage Least Squares (3SLS) of the simultaneous equation estimation approach to revisit the possible cross relationship between IPO initial returns and aftermarket risk. A structural form equation system of IPO initial returns and aftermarket risk equ...
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| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2019-04-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11864/IMFI_2019_02_Shen.pdf |
| _version_ | 1818690276639637504 |
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| author | Fong-Yi Shen Yeong-Jia Goo |
| author_facet | Fong-Yi Shen Yeong-Jia Goo |
| author_sort | Fong-Yi Shen |
| collection | DOAJ |
| description | The purpose of this study is to utilize the Three Stage Least Squares (3SLS) of the simultaneous equation estimation approach to revisit the possible cross relationship between IPO initial returns and aftermarket risk. A structural form equation system of IPO initial returns and aftermarket risk equations is estimated first to obtain the structural form coefficients. The analytically derived reduced form coefficients are then calculated to analyze the net effects of each exogenous variable on two endogenous variables. Major findings of this study are as follows. First, the signs of net effects of all exogenous variables on IPO initial returns and aftermarket risk are the same. In other words, any change in exogenous variables, IPO initial returns and IPO aftermarket risk will change in the same direction, i.e., the higher (lower) the IPO initial returns, the higher (lower) the IPO aftermarket risk. Second, the less the degree of corporate governance, the higher the IPO initial returns and aftermarket risk. Third, the higher the market risk or return before IPO, the higher the IPO initial returns and aftermarket risk. |
| first_indexed | 2024-12-17T12:23:26Z |
| format | Article |
| id | doaj.art-aee1addb71c240e6861fc418edfe486e |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2024-12-17T12:23:26Z |
| publishDate | 2019-04-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-aee1addb71c240e6861fc418edfe486e2022-12-21T21:48:53ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582019-04-01162142410.21511/imfi.16(2).2019.0211864The IPO initial returns-aftermarket risk question revisited: evidence from firms in TaiwanFong-Yi Shen0Yeong-Jia Goo1Ph.D. Candidate, Department of Business Administration, National Taipei UniversityProfessor, Department of Business Administration, National Taipei UniversityThe purpose of this study is to utilize the Three Stage Least Squares (3SLS) of the simultaneous equation estimation approach to revisit the possible cross relationship between IPO initial returns and aftermarket risk. A structural form equation system of IPO initial returns and aftermarket risk equations is estimated first to obtain the structural form coefficients. The analytically derived reduced form coefficients are then calculated to analyze the net effects of each exogenous variable on two endogenous variables. Major findings of this study are as follows. First, the signs of net effects of all exogenous variables on IPO initial returns and aftermarket risk are the same. In other words, any change in exogenous variables, IPO initial returns and IPO aftermarket risk will change in the same direction, i.e., the higher (lower) the IPO initial returns, the higher (lower) the IPO aftermarket risk. Second, the less the degree of corporate governance, the higher the IPO initial returns and aftermarket risk. Third, the higher the market risk or return before IPO, the higher the IPO initial returns and aftermarket risk.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11864/IMFI_2019_02_Shen.pdf3SLSaftermarket riskinitial returnsIPO |
| spellingShingle | Fong-Yi Shen Yeong-Jia Goo The IPO initial returns-aftermarket risk question revisited: evidence from firms in Taiwan Investment Management & Financial Innovations 3SLS aftermarket risk initial returns IPO |
| title | The IPO initial returns-aftermarket risk question revisited: evidence from firms in Taiwan |
| title_full | The IPO initial returns-aftermarket risk question revisited: evidence from firms in Taiwan |
| title_fullStr | The IPO initial returns-aftermarket risk question revisited: evidence from firms in Taiwan |
| title_full_unstemmed | The IPO initial returns-aftermarket risk question revisited: evidence from firms in Taiwan |
| title_short | The IPO initial returns-aftermarket risk question revisited: evidence from firms in Taiwan |
| title_sort | ipo initial returns aftermarket risk question revisited evidence from firms in taiwan |
| topic | 3SLS aftermarket risk initial returns IPO |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11864/IMFI_2019_02_Shen.pdf |
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