Matches in SemOpenAlex for { <https://semopenalex.org/work/W2601140245> ?p ?o ?g. }
- W2601140245 endingPage "53" @default.
- W2601140245 startingPage "25" @default.
- W2601140245 abstract "This study analyses the impact of initial return, post-issue liquidity, and third-party certification on downside risk of initial public offerings (IPOs). Downside risk, measured by value-at-risk (VaR) and conditional value-at-risk (CVaR), draws upon Extreme Value Theory (EVT) and the Peak over Threshold (POT) approach. Initial return and downside risk exhibit a positive association which is consistent with a market-overreaction explanation but contradicts the validity of signalling models in which underpricing acts as a costly and difficult to imitate signal of firm quality. Post-issue liquidity, measured by seven distinct definitions to capture different aspects of liquidity, also has a positive association with downside risk. In contrast, third-party certification, measured by the reputation and size of underwriter syndicate and venture capital-backed IPOs do not persistently explain the variation in downside risk. Quantile regression analysis constitutes more rigour in the testing and offers new insights into the sensitivity among variables and their covariates at different quantiles of downside risk. While initial return affects downside risk evenly across the entire distribution, quantile covariates for liquidity measures are statistically significant and generally outside the confidence interval of least squares regression coefficients. Sensitivity of liquidity measures is greater towards the upper end of the downside risk distribution." @default.
- W2601140245 created "2017-04-07" @default.
- W2601140245 creator A5045784907 @default.
- W2601140245 date "2017-05-01" @default.
- W2601140245 modified "2023-09-26" @default.
- W2601140245 title "Does mispricing, liquidity or third-party certification contribute to IPO downside risk?" @default.
- W2601140245 cites W1539483679 @default.
- W2601140245 cites W1560849420 @default.
- W2601140245 cites W1585959140 @default.
- W2601140245 cites W1605981853 @default.
- W2601140245 cites W1884217820 @default.
- W2601140245 cites W1964072989 @default.
- W2601140245 cites W1969632991 @default.
- W2601140245 cites W1971620601 @default.
- W2601140245 cites W1972556330 @default.
- W2601140245 cites W1975701650 @default.
- W2601140245 cites W1981566670 @default.
- W2601140245 cites W1983444062 @default.
- W2601140245 cites W1983799793 @default.
- W2601140245 cites W1986974585 @default.
- W2601140245 cites W1995260940 @default.
- W2601140245 cites W2004296262 @default.
- W2601140245 cites W2004962644 @default.
- W2601140245 cites W2005415391 @default.
- W2601140245 cites W2006974193 @default.
- W2601140245 cites W2013631662 @default.
- W2601140245 cites W2014930918 @default.
- W2601140245 cites W2019291268 @default.
- W2601140245 cites W2029658985 @default.
- W2601140245 cites W2029975627 @default.
- W2601140245 cites W2034306329 @default.
- W2601140245 cites W2035606631 @default.
- W2601140245 cites W2046519558 @default.
- W2601140245 cites W2047134779 @default.
- W2601140245 cites W2047485150 @default.
- W2601140245 cites W2050031929 @default.
- W2601140245 cites W2052536272 @default.
- W2601140245 cites W2059156966 @default.
- W2601140245 cites W2059841502 @default.
- W2601140245 cites W2060173146 @default.
- W2601140245 cites W2063347116 @default.
- W2601140245 cites W2064067537 @default.
- W2601140245 cites W2071119396 @default.
- W2601140245 cites W2071869434 @default.
- W2601140245 cites W2073488258 @default.
- W2601140245 cites W2080045204 @default.
- W2601140245 cites W2084879245 @default.
- W2601140245 cites W2085162670 @default.
- W2601140245 cites W2087865081 @default.
- W2601140245 cites W2089858078 @default.
- W2601140245 cites W2100876305 @default.
- W2601140245 cites W2103591541 @default.
- W2601140245 cites W2109828486 @default.
- W2601140245 cites W2113202952 @default.
- W2601140245 cites W2124092784 @default.
- W2601140245 cites W2129525919 @default.
- W2601140245 cites W2132582515 @default.
- W2601140245 cites W2134363238 @default.
- W2601140245 cites W2134391930 @default.
- W2601140245 cites W2135207355 @default.
- W2601140245 cites W2135808032 @default.
- W2601140245 cites W2136658108 @default.
- W2601140245 cites W2148198877 @default.
- W2601140245 cites W2148402268 @default.
- W2601140245 cites W2150747312 @default.
- W2601140245 cites W2156109180 @default.
- W2601140245 cites W2161884163 @default.
- W2601140245 cites W2165825757 @default.
- W2601140245 cites W2166215547 @default.
- W2601140245 cites W2326102607 @default.
- W2601140245 cites W3021190191 @default.
- W2601140245 cites W3021417173 @default.
- W2601140245 cites W3121165160 @default.
- W2601140245 cites W3121210451 @default.
- W2601140245 cites W3121353122 @default.
- W2601140245 cites W3121401171 @default.
- W2601140245 cites W3121499254 @default.
- W2601140245 cites W3121591170 @default.
- W2601140245 cites W3121651973 @default.
- W2601140245 cites W3122367063 @default.
- W2601140245 cites W3122446682 @default.
- W2601140245 cites W3122637423 @default.
- W2601140245 cites W3122865358 @default.
- W2601140245 cites W3123074429 @default.
- W2601140245 cites W3123129688 @default.
- W2601140245 cites W3123132005 @default.
- W2601140245 cites W3123268005 @default.
- W2601140245 cites W3123605165 @default.
- W2601140245 cites W3123663007 @default.
- W2601140245 cites W3123713238 @default.
- W2601140245 cites W3123753218 @default.
- W2601140245 cites W3123899576 @default.
- W2601140245 cites W3124148066 @default.
- W2601140245 cites W3124739000 @default.
- W2601140245 cites W3124751669 @default.
- W2601140245 cites W3124787240 @default.
- W2601140245 cites W3125125860 @default.
- W2601140245 cites W3125381584 @default.