| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3005 |
| DP3005 Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities | |
| Henry Allan Timmermann; Massimo Guidolin | |
| 发表日期 | 2001-10-20 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | We present evidence that firms attempting IPOs learn from the experience of their contemporaries. These information spillovers affect revisions in offer terms and the decision whether to carry through with an offering. The evidence also supports the argument that IPOs are implicitly bundled as a means of promoting more equitable sharing of information production costs. One apparent consequence of this behaviour is that while initial returns and IPO volume are positively correlated in the aggregate, the correlation is negative among contemporaneous offerings subject to a common valuation factor. These findings are consistent with the Benveniste, Busaba, and Wilhelm (2001) argument that the dynamics of volume and initial returns in primary equity markets reflect, at least in part, an institutional response to information externalities. |
| 主题 | Financial Economics |
| 关键词 | Initial public offerings Investment banking Information externalities Going public decision |
| URL | https://cepr.org/publications/dp3005 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532036 |
| 推荐引用方式 GB/T 7714 | Henry Allan Timmermann,Massimo Guidolin. DP3005 Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
