Subscription Rate and Volatility

Seshadev Sahoo

Journal of Emerging Market Finance, 2015, vol. 14, issue 1, 20-58

Abstract: This article investigates the relationship between subscription rate and aftermarket volatility for IPOs issued in India during the period 2002–12. The empirical findings corroborate the evidence that subscription rate is a good indicator of aftermarket volatility for the IPO stocks. This study also finds that retail subscription rate is relatively more significant and powerful in predicting volatility than institutional investors. Surprisingly, offer size, investment bank prestige and debt–equity ratio is insignificant in explaining aftermarket volatility. The outcome can be used by the market participants to understand the potential fluctuations in the prices. This article also evaluates volatility of the IPO stocks on listing day. JEL Classification: G12

Keywords: IPO; subscription rate; volatility; underpricing; IPO firm P/E; book value; post-issue promoter group retention; investment bank prestige; offer size; age of the firm (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:14:y:2015:i:1:p:20-58

DOI: 10.1177/0972652714567995

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