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SPAC IPO waves

Author

Listed:
  • Magnus Blomkvist

    (Audencia Business School)

  • Milos Vulanovic

Abstract

We examine the wave pattern of U.S. SPAC IPOs using a hand-collected data set of the entire SPAC population since their emergence in 2003. We find that both the SPAC volume and SPAC share of total IPOs are negatively related to market-wide uncertainty (VIX) and time-varying risk aversion (variance risk premium). We attribute our findings to risk-averse investors’ reluctancy to invest in opaque securities. In response, the SPAC sponsor can credibly signal the issue’s quality by increasing their “skin in the game” through the purchase of additional warrants.
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Suggested Citation

  • Magnus Blomkvist & Milos Vulanovic, 2020. "SPAC IPO waves," Post-Print hal-03039846, HAL.
    • Handle: RePEc:hal:journl:hal-03039846
    DOI: 10.1016/j.econlet.2020.109645
    Note: View the original document on HAL open archive server: https://hal.science/hal-03039846
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    1. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
    2. Lowry, Michelle, 2003. "Why does IPO volume fluctuate so much?," Journal of Financial Economics, Elsevier, vol. 67(1), pages 3-40, January.
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    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance

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