The impact of market momentum towards the initial public offerings: evidence from an emerging market

P. Sridevi, Balasubramanian Senthil Arasu, S. Nivetha and Lakshmi Narasimhan Vedanathachari

International Journal of Enterprise Network Management, 2024, vol. 15, issue 2, 190-216

Abstract: This study developed a model to predict the measures that impact the initial day return of initial public offerings and explain the importance of market momentum in predicting the initial day return of IPOs using OLS regression and random forest. This study analysed 239 mainline IPOs, issued and traded on the National Stock Exchange from 2009-2020. This study developed three models to identify the measures that influence the initial return of IPOs and to prove the predictive power of different market momentum towards the initial return of IPOs. The outcomes show that market momentum has a high impact on Indian IPOs and the information asymmetry variable is highly crucial to predicting the performance. Random forest results indicate a low out-of-bag error for the model incorporating MSLO and MS21. Firm size (FS), offer price (OP) and earning per price were also primary predictors of initial return.

Keywords: India; IPO performance; market momentum; OLS regression; random forest; cyclical behaviour theory. (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijenma:v:15:y:2024:i:2:p:190-216

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