The skewness preference of investors in initial public offerings in the long run: A theoretical and empirical test of Asset Pricing Models

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 French�s 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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Doctoral

Discipline thesis:degree_discipline

Finance, Insurance, and Business Law

Grantor dc:publisher

Texas Tech University

Year dc:date.issued

2005

Author dc:creator

• Slaydon, James L.

Chair dc:contributor.committeechair

• Sears, R. Stephen

Committee members dc:contributor.committeemember

• Ewing, Bradley T.
• Dukes, William P.
• Goebel, Paul

• Skewness
• Initial public offering
• Asset pricing model

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/2346/9309

OAI identifier oai:identifier

oai:ttu-ir.tdl.org:2346/9309