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Analysis into IPO Underpricing and Clustering in Hong Kong Equity Market

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  • Yongyuan Qiao

Abstract

This paper focuses on the time series properties of the level of underpricing of IPO shares and volume of initial selling in Hong Kong equity market. Strong autocorrelation among the level of underpricing has been identified. Evidence suggests that the initial selling volume plays an important role in the relationship. The links between underpricing and clustering of IPOs within different industries are weak, suggesting the reasons for underpricing are rather related to the market liquidity than industry specific risk characteristics

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Bibliographic Info

Paper provided by Centre for Research into Industry, Enterprise, Finance and the Firm in its series CRIEFF Discussion Papers with number 0716.

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Date of creation: Dec 2007
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Handle: RePEc:san:crieff:0716

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Keywords: Underpricing of IPO shares; Hong Kong equity market; the volume of initial selling; Market liquidity.;

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  1. Welch, Ivo, 1992. " Sequential Sales, Learning, and Cascades," Journal of Finance, American Finance Association, vol. 47(2), pages 695-732, June.
  2. Ljungqvist, Alexander P & Wilhelm Jr, William J, 2002. "IPO Pricing in the dot-com Bubble," CEPR Discussion Papers 3314, C.E.P.R. Discussion Papers.
  3. Hoffmann-Burchardi, Ulrike, 2001. "Clustering of initial public offerings, information revelation and underpricing," European Economic Review, Elsevier, vol. 45(2), pages 353-383, February.
  4. Rock, Kevin, 1986. "Why new issues are underpriced," Journal of Financial Economics, Elsevier, vol. 15(1-2), pages 187-212.
  5. Tim Loughran & Jay Ritter, 2004. "Why Has IPO Underpricing Changed Over Time?," Financial Management, Financial Management Association, vol. 33(3), Fall.
  6. Michelle Lowry & G. William Schwert, 2000. "IPO Market Cycles: Bubbles or Sequential Learning?," NBER Working Papers 7935, National Bureau of Economic Research, Inc.
  7. Lubos Pástor & Pietro Veronesi, 2005. "Rational IPO Waves," Journal of Finance, American Finance Association, vol. 60(4), pages 1713-1757, 08.
  8. Mauer, David C. & Senbet, Lemma W., 1992. "The Effect of the Secondary Market on the Pricing of Initial Public Offerings: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(01), pages 55-79, March.
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