دانلود مقاله ISI انگلیسی شماره 49677
عنوان فارسی مقاله

ریسک نقدینگی، اهرم و بازده IPO بلند مدت

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
49677 2005 35 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Liquidity risk, leverage and long-run IPO returns
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Corporate Finance, Volume 11, Issues 1–2, March 2005, Pages 1–35

کلمات کلیدی
ریسک نقدینگی - اهرم - IPO
پیش نمایش مقاله
پیش نمایش مقاله ریسک نقدینگی، اهرم و بازده IPO بلند مدت

چکیده انگلیسی

We examine the risk-return characteristics of a rolling portfolio investment strategy where more than 6000 Nasdaq initial public offering (IPO) stocks are bought and held for up to 5 years. The average long-run portfolio return is low, but IPO stocks appear as “longshots”, as 5-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 characteristic-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.

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