| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18555 |
| 来源ID | Working Paper 18555 |
| Building Castles in the Air: Evidence from Industry IPO Waves | |
| Zhi Da; Ravi Jagannathan; Jianfeng Shen | |
| 发表日期 | 2012-11-21 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We provide empirical support for the conventional wisdom that there are times when optimistic investors tend to build their hopes into castles in the air, and pay a large premium over intrinsic value for stocks of firms in the early stages of their life cycles with perceived growth opportunities. We use industry IPO waves containing a set of firms in the same industry that went public at about the same time in a cluster to identify those time periods and firms that are relatively homogenous and in the same early growth stages of their life cycles. We find that three years after an industry IPO wave ends, among the firms in the wave with relatively high historical sales growth rates, those with low gross margins are over-valued relative to firms with high gross margins. They under-perform their industry IPO wave peers by 0.92% per month, or about 12% per year, during the subsequent four-year period after adjusting for risk and firm characteristics differentials. Further, the average future returns on these firms are even below the corresponding risk-free returns. Our findings contribute to the literature on inefficient capital markets by identifying situations when prices of some stocks are likely to be affected by bounded rationality or biases in the way investors make decisions, and agency issues limit the ability of more sophisticated arbitrageurs who have to rely on other people's money from exploiting any resultant profit opportunities. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w18555 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576230 |
| 推荐引用方式 GB/T 7714 | Zhi Da,Ravi Jagannathan,Jianfeng Shen. Building Castles in the Air: Evidence from Industry IPO Waves. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18555.pdf（1002KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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。
