Modelling the behaviour of the new issue market

Tim Brailsford; Richard Heaney; Jing Shi

doi:10.1016/j.irfa.2004.02.001

Modelling the behaviour of the new issue market

Tim Brailsford, Richard Heaney^*, Jing Shi

^*Corresponding author for this work

Research output: Contribution to journal › Article › Research › peer-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 language	English
Pages (from-to)	119-132
Number of pages	14
Journal	International Review of Financial Analysis
Volume	13
Issue number	2
DOIs	https://doi.org/10.1016/j.irfa.2004.02.001
Publication status	Published - 2004
Externally published	Yes

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10.1016/j.irfa.2004.02.001

Cite this

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AB - 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.

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Modelling the behaviour of the new issue market

Abstract

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