Stabsseminar ved Espen Eckbo

Professor Espen Eckbo, Amos Tuck School of Business Administration, holder stabsseminar ved Institutt for foretaksøkonomi torsdag 30. april.

27.03.2000 - Elin F. Styve

Tema er Leverage, Liquidity and Long-Run IPO Returns

Tid og sted:
Torsdag 30. mars, kl. 1215 - 1330 i Auditorium E

Abstract
It is well known that IPO stocks on average substantially underperform (over 3-5 years) non-IPO stocks matched on firm size. With a large sample of Nasdaq IP0s, this paper presents systematic evidence that IPO stocks are less risky than the size-matched firms and thus have lower expected return. We show that, in the years immediately following the issue, IPO stocks have lower leverage ratios and higher liquidity (turnover) than matched firms. A model with macroeconomic risk factors further reveals that IPO stocks have lower exposures than matched firms to leverage -related factors such as unexpected inflation and term-structure spreads. Moreover, when we introduce liquidity as a risk factor in a Fama-French type of model, we find that the liquidity factor also reduces expected returns to IPO stocks relative to matched firms. Controlling for risk using either factor model, we cannot reject the hypothesis of zero abnormal returns to IPO stocks.

Paper kan hentes hos Turid Gabrielsen på rom C512, tlf. (5595) 9284 eller epost: Turid.Gabrielsen@nhh.no.