Forecasting aggregate stock returns using the number of initial public offerings as a predictor

Gueorgui I. Kolev ()
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Gueorgui I. Kolev: Department of Economics and Business, Universitat Pompeu Fabra

Economics Bulletin, 2008, vol. 7, issue 13, 1-8

Abstract: Large number of Initial Public Offerings (IPOs) reliably predicts subsequent low equally weighted aggregate stock returns and the return differential between small and big firms, both in-sample and out-of-sample. The forecasting patterns are consistent with a behavioral story featuring investor sentiment and limits to arbitrage.

Keywords: Initial; Public; Offerings (search for similar items in EconPapers)
JEL-codes: G1 G3 (search for similar items in EconPapers)
Date: 2008-10-14
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Citations: View citations in EconPapers (1)

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