أميرة عقل أحمد
مدرس
The determinants of IPO initial returns in emerging markets: a quantile regression
International Journal of Emerging Markets • 2024
معلومات البحث
المؤلفون
Amira Akl Ahmed; Bosy Ahmed Gamaleldin Fathy; Nagwa Abdl-Allah Samak
الكلمات المفتاحية
IPOs underpricing; Quantile Regression;
المجلة العلمية
International Journal of Emerging Markets
الناشر
emerald
المجلد
19
العدد
(1)
الصفحات
211–230.
publication.type
International
رابط البحث
Open Link
المواد المرفقة
Not Available
الملخص
Purpose
This article investigates the determinants of cross-section variation of initial public offerings' (IPOs) first-day returns in a sample of 710 issues across seven emerging markets between 2013 and 2017.
Design/methodology/approach
Ordinary least squares regression (OLS) and the semi-parametric quantile regression (QR) technique are employed. QR enables to analyse beyond the explanatory variables' relative mean effect at various points in the endogenous variable distribution. Furthermore, parameter estimates under QR are robust to the existence of outliers and long tails in the data distribution.
Findings
Underpricing varies across countries with an average of 78%. According to the OLS results, independent variables explain 26% of the variation of IPOs' first-day returns. Findings show that employing QR is important, given the non-normality of the data and because each quantile is associated with a different effect of explanatory variables.
Originality/value
In addition to firm-specific, market-specific and issue-specific factors, the paper extends IPOs' underpricing literature through studying the impact of country-specific characteristics, largely neglected by literature, on IPO underpricing.
This article investigates the determinants of cross-section variation of initial public offerings' (IPOs) first-day returns in a sample of 710 issues across seven emerging markets between 2013 and 2017.
Design/methodology/approach
Ordinary least squares regression (OLS) and the semi-parametric quantile regression (QR) technique are employed. QR enables to analyse beyond the explanatory variables' relative mean effect at various points in the endogenous variable distribution. Furthermore, parameter estimates under QR are robust to the existence of outliers and long tails in the data distribution.
Findings
Underpricing varies across countries with an average of 78%. According to the OLS results, independent variables explain 26% of the variation of IPOs' first-day returns. Findings show that employing QR is important, given the non-normality of the data and because each quantile is associated with a different effect of explanatory variables.
Originality/value
In addition to firm-specific, market-specific and issue-specific factors, the paper extends IPOs' underpricing literature through studying the impact of country-specific characteristics, largely neglected by literature, on IPO underpricing.
