Supply matters for asset prices: evidence from IPOs in emerging markets
Matias Braun and
Borja Larrain ()
No 06-4, Working Papers from Federal Reserve Bank of Boston
Abstract:
We show that the introduction of a new asset affects the prices of previously existing assets in a market. Using data from 254 IPOs in emerging markets, we find that stocks in industries that covary highly with the industry of the IPO experience a larger decline in prices relative to other stocks during the month of the IPO. The effects are stronger when the IPO is issued in a market that is less integrated internationally, and when the IPO is big. The evidence supports the idea that the composition of asset supply affects the cross-section of stock prices.
Keywords: Asset pricing; Going public (Securities) (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-acc, nep-cfn and nep-fmk
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Citations: View citations in EconPapers (2)
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