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An empirical extension of Rock's IPO underpricing model to three distinct groups of investors
Anna P.I. Vong1; Duarte Trigueiros2
2009-06-30
Source PublicationApplied Financial Economics
ISSN0960-3107
Volume19Issue:15Pages:1257-1268
Other Abstract

This article examines earned returns and allocation details of more than 200 new offerings (Initial Public Offering, IPO) from companies that went public in Hong Kong during the period 1988 to 1995. Three distinct groups of investors are identified, each exhibiting a particular type of return’s pattern. Each pattern seems to correspond to a specific level of information. This finding is of particular interest as it shows the level of return that an investor can expect from IPO investments, also being an extension of previous studies where, following Rock (1986), two, not three, groups of investors are identified. This article also finds that expected returns from IPOs remain positive and highly significant after adjusting for the allocation bias. With the exception of the smallest application sizes, results are invariant to adjustments such as transaction costs and the risk-free rate of return.

DOIhttps://doi.org/10.1080/09603100802570408
Language英语
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Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorAnna P.I. Vong
Affiliation1.Faculty of Business Administration, University of Macau, Avenida Padre Tomas Pereira, S. J. Taipa, Macau, China
2.Faculty of Economics, University of Algarve, Gambelas, 800 Faro Algarve, Portugal
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Anna P.I. Vong,Duarte Trigueiros. An empirical extension of Rock's IPO underpricing model to three distinct groups of investors[J]. Applied Financial Economics,2009,19(15):1257-1268.
APA Anna P.I. Vong,&Duarte Trigueiros.(2009).An empirical extension of Rock's IPO underpricing model to three distinct groups of investors.Applied Financial Economics,19(15),1257-1268.
MLA Anna P.I. Vong,et al."An empirical extension of Rock's IPO underpricing model to three distinct groups of investors".Applied Financial Economics 19.15(2009):1257-1268.
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