Estimation risk, information asymmetry and information production in public equity offerings

2004 ◽  
Author(s):  
Hon Keung Tam
Keyword(s):  
Information Asymmetry ◽  
Risk Information ◽  
Information Production ◽  
Equity Offerings ◽  
Estimation Risk ◽  
Public Equity

Does Sentiment Drive the Retail Demand for IPOs?

2009 ◽  
Vol 44 (1) ◽  
pp. 85-108 ◽  
Author(s):  
Daniel Dorn
Keyword(s):  
Initial Public Offerings ◽  
Institutional Investors ◽  
Equity Offerings ◽  
Public Offerings ◽  
Trading Decisions ◽  
Retail Trading ◽  
Public Equity ◽  
Retail Demand ◽  
As If

AbstractIndividual and institutional investors can trade German initial public equity offerings on an as-if/when-issued basis before the start of secondary trading. Using actual when-issued trades made by a sample of clients at a large German retail broker during 1999 and 2000, the paper documents that retail buyers consistently overpay for initial public offerings (IPOs) in the when-issued market relative to the immediate aftermarket. The observed willingness to overpay points to sentiment as a driver of retail trading decisions. Consistent with this interpretation and with sentiment affecting prices, IPOs that are aggressively bought by individuals in the when-issued market exhibit high first-day returns as well as poor aftermarket returns relative to benchmarks of similar stocks.

Estimation Risk, Information, and the Conditional CAPM: Theory and Evidence

2008 ◽  
Vol 21 (3) ◽  
pp. 1037-1075 ◽  
Author(s):  
Praveen Kumar ◽  
Sorin M. Sorescu ◽  
Rodney D. Boehme ◽  
Bartley R. Danielsen
Keyword(s):  
Risk Information ◽  
Estimation Risk ◽  
Conditional Capm
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