The Time-Series Behavior of IPO Betas

The Time-Series Behavior of IPO Betas We examine individual IPO betas and provide further evidence that the documented decline in IPO betas results primarily from a seasoning or information effect and not from the delisting of high beta securities. We employ stochastic coefficient regression analysis which permits the estimation of individual IPO betas at all points in time, and therefore avoids disadvantages associated with grouped cross-sectional beta estimates and average individual time-series beta estimates. We find that IPO firms with the lowest betas are more likely to delist, and that individual IPO betas, on average, decline over time which provides support for the information hypothesis. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

The Time-Series Behavior of IPO Betas

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 1999 by Kluwer Academic Publishers
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1023/A:1008318514830
Publisher site
See Article on Publisher Site

Abstract

We examine individual IPO betas and provide further evidence that the documented decline in IPO betas results primarily from a seasoning or information effect and not from the delisting of high beta securities. We employ stochastic coefficient regression analysis which permits the estimation of individual IPO betas at all points in time, and therefore avoids disadvantages associated with grouped cross-sectional beta estimates and average individual time-series beta estimates. We find that IPO firms with the lowest betas are more likely to delist, and that individual IPO betas, on average, decline over time which provides support for the information hypothesis.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Sep 30, 2004

References

  • Betas and Their Regression Tendencies: Some Further Evidence
    Blume, M. `.

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