Supply matters for asset prices: evidence from IPOs in emerging markets

Matias Braun () and Borja Larrain

No 06-4, Working Papers from Federal Reserve Bank of Boston

Abstract: We show that the introduction of a new asset affects the prices of previously existing assets in a market. Using data from 254 IPOs in emerging markets, we find that stocks in industries that covary highly with the industry of the IPO experience a larger decline in prices relative to other stocks during the month of the IPO. The effects are stronger when the IPO is issued in a market that is less integrated internationally, and when the IPO is big. The evidence supports the idea that the composition of asset supply affects the cross-section of stock prices.

Keywords: Asset pricing; Going public (Securities) (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-acc, nep-cfn and nep-fmk
Date: 2005
View list of references

Downloads: (external link)
http://www.bos.frb.org/economic/wp/wp2006/wp0604.htm (text/html)
http://www.bos.frb.org/economic/wp/wp2006/wp0604.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:fip:fedbwp:06-4

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of Boston
Contact information at EDIRC.
Series data maintained by Diane Rosenberger ().