The skewness preference of investors in initial public offerings in the long run: A theoretical and empirical test of Asset Pricing Models
type: CreativeWork
description: The underperformance of initial public offerings (IPOs) in the long run has been widely documented. Using a sample of 2537 IPOs from the 1980-1999 period, this research explores the importance of skewness as an explanation the underperformance phenomenon. The results shoe that both the event time series and cross sectional distributions are significantly positively skewed. Extending the length of study up to 20 years, the IPO sample is significantly different from a matched market sample. The asset pricing tests show that Fama and Frenchï¿½s market risk premium and size factors are important in IPO returns. The co-skewness factor is significantly only when the size factor is not included in the time series regressions.
abstract: The underperformance of initial public offerings (IPOs) in the long run has been widely documented. Using a sample of 2537 IPOs from the 1980-1999 period, this research explores the importance of skewness as an explanation the underperformance phenomenon. The results shoe that both the event time series and cross sectional distributions are significantly positively skewed. Extending the length of study up to 20 years, the IPO sample is significantly different from a matched market sample. The asset pricing tests show that Fama and Frenchï¿½s market risk premium and size factors are important in IPO returns. The co-skewness factor is significantly only when the size factor is not included in the time series regressions.
author: Slaydon, James L.
language: eng
keywords: Skewness, Initial public offering, Asset pricing model
date published: 2005-05
date modified: 2026-07-24T05:04:47Z
provider: Texas Technology University
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: Texas Tech University

PropertyValue
property ID: Handle
value: http://hdl.handle.net/2346/9309