The Skewness Preference of Investors in Initial Public Offerings in the Long Run: A Theoretical and Empirical Test of Asset Pricing Models

Simple item page
dc.contributor.committeeChairSears, R. Stephen
dc.contributor.committeeMemberEwing, Bradley T.
dc.contributor.committeeMemberDukes, William P.
dc.contributor.committeeMemberGoebel, Paul
dc.creatorSlaydon, James L.
dc.date.accessioned2016-11-14T23:11:50Z
dc.date.available2011-02-18T19:04:27Z
dc.date.available2016-11-14T23:11:50Z
dc.date.issued2005-05
dc.degree.departmentFinance, Insurance, and Business Lawen_US
dc.description.abstractThe underperformance of initial public offerings (IPOs) in the long run has been widely documented. Using a sample of 2537 IPOs from the 1980-1999 period, this research explores the importance of skewness as an explanation the underperformance phenomenon. The results shoe that both the event time series and cross sectional distributions are significantly positively skewed. Extending the length of study up to 20 years, the IPO sample is significantly different from a matched market sample. The asset pricing tests show that Fama and French�s market risk premium and size factors are important in IPO returns. The co-skewness factor is significantly only when the size factor is not included in the time series regressions.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttp://hdl.handle.net/2346/9309en_US
dc.language.isoeng
dc.publisherTexas Tech Universityen_US
dc.rights.availabilityUnrestricted.
dc.subjectSkewnessen_US
dc.subjectInitial public offeringen_US
dc.subjectAsset pricing modelen_US
dc.titleThe Skewness Preference of Investors in Initial Public Offerings in the Long Run: A Theoretical and Empirical Test of Asset Pricing Models
dc.typeDissertation

Files

Collections

Texas Tech University