| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4907
|
| DP4907 A Theory of Influence: The Strategic Value of Public Ignorance |
| Juan Carrillo; Isabelle Brocas
|
| 发表日期 | 2005-02-23
|
| 出版年 | 2005
|
| 语种 | 英语
|
| 摘要 | We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand Nasdaq initial public offering (IPO) stocks are bought and held for up to five years. The average long-run portfolio return is low, but IPO stocks appear as ?longshots?, as five-year buy-and-hold returns of 1000% or more are somewhat more frequent than for non-issuing Nasdaq firms matched on size and book-to-market ratio. The typical IPO firm is of average Nasdaq market capitalization but has relatively low book-to-market ratio. We also show that IPO firms exhibit relatively high stock turnover and low leverage, which may lower systematic risk exposures. To examine this possibility, we launch an easily constructed ?low minus high? (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas for broad-based stock portfolios, as well as for our IPO portfolio and a comparison portfolio of seasoned equity offerings. The factor-model estimation also includes standard characteristics-based risk factors, and we explore mimicking portfolios for leverage-related macroeconomic risks. Because they track macroeconomic aggregates, these mimicking portfolios are relatively immune to market sentiment effects. Overall, we cannot reject the hypothesis that the realized return on the IPO portfolio is commensurable with the portfolio?s risk exposures, as defined here. |
| 主题 | Financial Economics
|
| 关键词 | Asset pricing
Liquidity
Risk and return
Initial public offering (ipo)
Capital structure
Market efficiency
|
| URL | https://cepr.org/publications/dp4907
|
| 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/533810
|
推荐引用方式
GB/T 7714 |
Juan Carrillo,Isabelle Brocas. DP4907 A Theory of Influence: The Strategic Value of Public Ignorance. 2005.
|
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。
