Abstract
INTRODUCTION
Section 1- Short run IPO anomaly and traditional explanations
I- Underpricing anomaly: a persistent phenomenon that characterizes IPO market
I-1)Underpricing definition:
I-2)A persistent anomaly in time:
I-3)A persistent anomaly in all countries:
I-4)A persistent anomaly in all industries:
II- Theoretical explanations of short run underpricing: A literature review
II-1)Asymmetric information:
II-1-1)The issuer is more informed than the investors: Welch (1989) and others assume that the issuer is better informed about its true value.
II-1-2)The investors are the most informed:
II-2)Symmetric information:
II-2-1)Risk premium:
II-2-2)Characteristics of the Initial Public offering:
II-2-3)Lawsuit avoidance: legal liability
II-2-4)Underpricing as a substitute of marketing expenditures:
II-2-5)Internet Bubble:
II-2-6)Price stabilization and partial adjustment:
Section 2- Behavioral explanations
I- Definitions:
I-1)The sentiment’s notion:
I-2)Hot IPO market’s phenomenon:
I-3)Investors typology:
II- Literature review of behavioral explanations:
II-1)Informational cascades:
II-2)The prospect theory:
II-3)Investor sentiment by Ljungqvist, Nanda and Singh (2004):
II-4)The use of Grey Market Data:
II-5)The use of market conditions to value investor’s sentiment:
II-6)Discount on closed-end funds as proxy for investor sentiment:
II-7)Other proxies and empirical results:
Section 3- The model and empirical implications
I- The model and explanatory variables:
I-1)The model:
I-2)The explanatory variables:
I-2-1)Informational Asymmetry Theory:
I-2-2)Theory asserting informational symmetry and IPO market efficiency:
I-2-3)Investor sentiment and Behavioral approach:
II- Data Description:
III- Empirical implications and analysis:
CONCLUSION
References