Essays on Determinants of IPO Liquidity and Price Adjustments to Persistent Information in Option Markets

I examine the determinants of cross-sectional liquidity in the IPO aftermarket during the period of 1995 through 2005. I find that past price performance, the extent of stock visibility, the mass of informed agents, and certain IPO attributes play a role in explaining IPO trading activity. My empirical evidence shows that differences of opinion and estimation uncertainty about an IPO firm affect little IPO liquidity. My findings contribute to the understanding of determinants of IPO aftermarket trading. I also investigate whether contemporaneous overreaction tends to occur following persistent information in the options market. More specifically, I compare the reactions between growth and value investors, and small and large investors conditional on past price reactions. My empirical results suggest that value investors react more strongly than growth investors following a series of prior information shocks, as measured by the cumulative level of overreaction. Small investors tend to react more strongly than large investors conditional on prior information shock, as measured by the cumulative sign or level of overreaction. The results imply that overreaction is a function of investor types and previous information and contribute to the overreaction hypothesis in the options market.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics and Finance

Year

2008

Author dc:creator

• Lee, Yen-Sheng

Contributors dc:contributor

• Wei, Peihwang
• Krishnaswami, Sudha
• Mukherjee, Tarun

• Initial public offering
• Post-listing liquidity
• Overreaction

Repository record dc:identifier

https://scholarworks.uno.edu/td/701

OAI identifier oai:identifier

oai:scholarworks.uno.edu:td-1701