IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-03039846.html
   My bibliography  Save this paper

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.
(This abstract was borrowed from another version of this item.)

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
    as

    Download full text from publisher

    File URL: https://hal.science/hal-03039846/document
    Download Restriction: no
    File URL: https://libkey.io/10.1016/j.econlet.2020.109645?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    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.
    3. Schultz, Paul, 1993. "Unit initial public offerings *1: A form of staged financing," Journal of Financial Economics, Elsevier, vol. 34(2), pages 199-229, October.
    4. Kolb, Johannes & Tykvová, Tereza, 2016. "Going public via special purpose acquisition companies: Frogs do not turn into princes," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 80-96.
    5. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
    6. Cumming, Douglas & Haß, Lars Helge & Schweizer, Denis, 2014. "The fast track IPO – Success factors for taking firms public with SPACs," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 198-213.
    7. Hyun Song Shin, 2003. "Disclosures and Asset Returns," Econometrica, Econometric Society, vol. 71(1), pages 105-133, January.
    8. Dimitrova, Lora, 2017. "Perverse incentives of special purpose acquisition companies, the “poor man's private equity funds”," Journal of Accounting and Economics, Elsevier, vol. 63(1), pages 99-120.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Magnus Blomkvist & Giacomo Nocera & Milos Vulanovic, 2022. "SPAC CEOs and capital raising outcomes," Economics Bulletin, AccessEcon, vol. 42(2), pages 729-739.
    2. Hyunseok Kim & Jayoung Ko & Chulhee Jun & Kyojik “Roy” Song, 2021. "Going public through mergers with special purpose acquisition companies," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 742-768, September.
    3. Signori, Andrea & Vismara, Silvio, 2018. "M&A synergies and trends in IPOs," Technological Forecasting and Social Change, Elsevier, vol. 127(C), pages 141-153.
    4. James R. Barth & Min Gu & Jiachen Liu, 2023. "SPACs: An overview and assessment of returns," American Journal of Economics and Sociology, Wiley Blackwell, vol. 82(2), pages 129-139, March.
    5. Papathanasiou, Spyros & Koutsokostas, Drosos & Pergeris, Georgios, 2022. "Novel alternative assets within a transmission mechanism of volatility spillovers: The role of SPACs," Finance Research Letters, Elsevier, vol. 47(PA).
    6. Kinateder, Harald & Wagner, Niklas, 2017. "Quantitative easing and the pricing of EMU sovereign debt," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 1-12.
    7. Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013. "Market skewness risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(1), pages 46-68.
    8. Guo, Hui & Jiang, Xiaowen, 2021. "Aggregate Distress Risk and Equity Returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    9. Qingjing Zhang & Taufiq Choudhry & Jing-Ming Kuo & Xiaoquan Liu, 2021. "Does liquidity drive stock market returns? The role of investor risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 929-958, October.
    10. Sangwon Suh & Eungyu Yoo & Sun‐Joong Yoon, 2021. "Stock market tail risk, tail risk premia, and return predictability," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1569-1596, October.
    11. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
    12. Vozlyublennaia, Nadia & Meshcheryakov, Artem, 2014. "Dynamic correlation structure and security risk," Journal of Economics and Business, Elsevier, vol. 73(C), pages 48-64.
    13. Anh Tran & Bang Nam Jeon, 2011. "The dynamic impact of macroeconomic factors on initial public offerings: evidence from time-series analysis," Applied Economics, Taylor & Francis Journals, vol. 43(23), pages 3187-3201.
    14. Schlag, Christian & Semenischev, Michael & Thimme, Julian, 2020. "Predictability and the cross-section of expected returns: A challenge for asset pricing models," SAFE Working Paper Series 289, Leibniz Institute for Financial Research SAFE.
    15. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
    16. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
    17. Amengual, Dante & Xiu, Dacheng, 2018. "Resolution of policy uncertainty and sudden declines in volatility," Journal of Econometrics, Elsevier, vol. 203(2), pages 297-315.
    18. Bams, Dennis & Blanchard, Gildas & Honarvar, Iman & Lehnert, Thorsten, 2017. "Does oil and gold price uncertainty matter for the stock market?," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 270-285.
    19. Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Asset prices and “the devil(s) you know”," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 20-35.
    20. Kolb, Johannes & Tykvová, Tereza, 2016. "Going public via special purpose acquisition companies: Frogs do not turn into princes," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 80-96.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-03039846. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.