Modelling the behaviour of the new issue market

Tim Brailsford, Richard Heaney, Jing Shi

Research output: Contribution to journalArticleResearchpeer-review

11 Citations (Scopus)

Abstract

This paper analyses the time series behaviour of the initial public offering (IPO) market using an equilibrium model of demand and supply that incorporates the number of new issues, average underpricing, and general market conditions. Model predictions include the existence of serial correlation in both the number of new issues and the average level of underpricing, as well as interactions between these variables and the impact of general market conditions. The model is tested using 40 years of monthly IPO data. The empirical results are generally consistent with predictions.

Original languageEnglish
Pages (from-to)119-132
Number of pages14
JournalInternational Review of Financial Analysis
Volume13
Issue number2
DOIs
Publication statusPublished - 2004
Externally publishedYes

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Initial public offerings
New issues
Underpricing
Modeling
Market conditions
Prediction model
Demand and supply
Serial correlation
Empirical results
Prediction
Interaction

Cite this

Brailsford, Tim ; Heaney, Richard ; Shi, Jing. / Modelling the behaviour of the new issue market. In: International Review of Financial Analysis. 2004 ; Vol. 13, No. 2. pp. 119-132.
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Modelling the behaviour of the new issue market. / Brailsford, Tim; Heaney, Richard; Shi, Jing.

In: International Review of Financial Analysis, Vol. 13, No. 2, 2004, p. 119-132.

Research output: Contribution to journalArticleResearchpeer-review

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