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The Time-Series Behavior of IPO Betas

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  • Neill, John D
  • Perfect, Steven B
  • Wiles, Kenneth W

Abstract

We examine individual IPO betas and provide further evidence that the documented decline in IPO betas results primarily from a seasoning or information effect and not from the delisting of high beta securities. We employ stochastic coefficient regression analysis which permits the estimation of individual IPO betas at all points in time, and therefore avoids disadvantages associated with grouped cross-sectional beta estimates and average individual time-series beta estimates. We find that IPO firms with the lowest betas are more likely to delist, and that individual IPO betas, on average, decline over time which provides support for the information hypothesis. Copyright 1999 by Kluwer Academic Publishers

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  • Neill, John D & Perfect, Steven B & Wiles, Kenneth W, 1999. "The Time-Series Behavior of IPO Betas," Review of Quantitative Finance and Accounting, Springer, vol. 13(3), pages 261-276, November.
    • Handle: RePEc:kap:rqfnac:v:13:y:1999:i:3:p:261-76
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    Cited by:

    1. Reber, Beat, 2017. "Does mispricing, liquidity or third-party certification contribute to IPO downside risk?," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 25-53.

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