Rate of subscription and after-market volatility in Hong Kong IPOs

Anna Vong

Applied Financial Economics, 2006, vol. 16, issue 16, 1217-1224

Abstract: The majority of the empirical literature on initial public offerings (IPOs) concentrates on the impact of newly listed companies' characteristics on the initial return. It is implicitly assumed that investors act only in accordance with the information they have collected before the application deadline and that the market reaction towards the public listing of a new offering will only be known on the first day of trading. Using data from a large sample of IPOs in Hong Kong, the study shows that an offering's rate of subscription contains important information of its own. Namely, it is demonstrated that the well-known relationship between initial returns and the ex-post volatility of returns actually is spurious, volatility being associated with the unpredicted component of the subscription rate.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100500447545 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:apfiec:v:16:y:2006:i:16:p:1217-1224

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100500447545

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().