IPO INITIAL RETURNS AND VOLATILITY: A STUDY IN AN EMERGING MARKET

Mike Siew Wei Leong and Sheela Devi Sundarasen

The International Journal of Business and Finance Research, 2015, vol. 9, issue 3, 71-82

Abstract: This study examines the impact of firm characteristics, signaling variables and financial variables on IPO initial returns and the volatility of initial returns. Hierarchical regression is first performed on all the three blocks of variables, after which a stepwise regression is executed to further test on the significance of the relationship amongst the respective individual variables. The results designate differences in the relationship between firm characteristics, signaling variables and financial variables on IPO initial returns and the volatility of initial returns. It is conjectured that oversubscription of IPOs have a positive impact on the initial returns, whilst prospective dividend yield has a negative impact on the volatility of IPOs’ initial returns

Keywords: IPO; Initial Returns; Volatility of Initial Returns (search for similar items in EconPapers)
JEL-codes: G1 G12 G14 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:9:y:2015:i:3:p:71-82

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