학회소식
[2004년 제 2차] The Asymmetric Effect of Positive and Negative Firm
작성자 : 관리자
조회수 : 826
게시일 :
2004-05-25
The findings reported in this study suggest that when positive information is revealed during the bookbuilding period, a range of variables, particularly firm-specific uncertainty proxies such as R&D, the frequency of amendments to the registration statement, and the offer size, exerts partial influence over positive price revisions and continues to exert considerable influence on initial returns. The coefficient estimated for R&D is also found to be significantly larger than that for physical assets, suggesting that the marginal influence of R&D, which is the measure for the firm-specific uncertainty, on the IPO pricing tends to be larger than that of physical assets. These findings are consistent with the Benveniste and Spindt’s partial adjustment hypothesis. However, when negative information is revealed, our findings indicate, most of firm-specific uncertainty proxies show the significant relation with negative price revisions but no significant relation with initial returns. This is consistent with our hypothesis that negative information is fully reflected in price revisions and thus not much left to be reflected in initial returns.
