BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Author
Kovelenka Yuliya (PhD candidate at Kozminski University)
Title
Determinants of IPO Underpricing on the Warsaw Stock Exchange
Determinanty underpricingu pierwszych ofert publicznych na GPW
Source
Finanse, Rynki Finansowe, Ubezpieczenia, 2018, nr 1 (91), s. 257-267, tab., bibliogr. 38 poz.
Issue title
Zarządzanie finansami
Keyword
Pierwsza oferta publiczna, Niedoszacowanie cen akcji, Giełda papierów wartościowych
Initial Public Offering (IPO), Underpricing, Stock market
Note
streszcz., summ.
Company
Giełda Papierów Wartościowych w Warszawie
Warsaw Stock Exchange
Abstract
Cel - celem tego artykułu jest przedstawienie dowodów na temat początkowego zwrotu (IR) wstępnych ofert publicznych (IPO) na rynku akcji w Polsce oraz określenie czynników determinujących początkowy underpricing IPO na Giełdzie Papierów Wartościowych w Warszawie (GPW) w okresie od 2005 r. do 2015 r. Metodologia badania - ocena empiryczna i szacowanie wyników regresji na podstawie informacji uzyskanych z baz danych takich jak: Bloomberg, Dealogic i MergerMarket. Wynik - artykuł dostarcza dowodów na asymetrię informacji, teorie behawioralne, a także własnościowe i strukturalne. Wyniki wskazują sześć zmiennych, które mają wpływ na stopień underpricingu, a mianowicie zaangażowanie funduszy PE i VC w strukturę własności spółki przeprowadzającej IPO, nowe akcje emitowane jako procent całkowitych wpływów z publicznej oferty publicznej, niepewność ex-ante zmierzona według skrajnej wartości Parkinsona, cena IPO została ustalona na poziomie maksymalnym, obroty akcjami sprzedanymi w czasie debiutu oraz zwrot na giełdzie sześć miesięcy przed debiutem. Oryginalność/wartość - niniejszy artykuł stanowi wkład do literatury dostarczającej nowych dowodów na stosunkowo mało przeszukiwane zjawisko underpricingu IPO i ich determinanty na polskim rynku akcji. (abstrakt oryginalny)

Purpose - the objective of this paper is to provide evidence on the initial return (IR) of Initial Public Offerings (IPO) on the stock market in Poland and to identify determinants of the IPO initial returns on the Warsaw Stock Exchange (WSE) in the period between the years 2005 and 2015. Design/methodology/approach - empirical analysis and regression results estimation based on information derived from databases such as: Bloomberg, Dealogic, and MergerMarket. Findings - the paper provides evidence for information asymmetry, behavioural as well as ownership and structure theories. The results identify six variables which have an impact on the degree of underpricing namely, involvement of PE and VC funds in the ownership structure of a company undertaking an IPO, new shares issued as a percentage of an IPO's total proceeds, ex-ante uncertainty measured by Parkinson's extreme value, an IPO price being set at the maximum of the book building range, turnover of shares traded during the debut date as well as the stock market return six months prior to an IPO. Originality/value - this paper contributes to the literature providing new evidence on a relatively little researched IPO underpricing phenomenon and determinants on the Polish stock market.(original abstract)
Accessibility
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
Full text
Show
Bibliography
Show
  1. Al-Hassan, A., Delgado, F., Omran, M. (2007). IPO behabior in GCC countries: Goody-two shoes or Bad-to-the-Bone? International Monetary Fund.
  2. Allen, F., Faulhaber, G. (1989). Signaling by underpricing in the IPO market. Journal of Financial Economics, 23, 303-324.
  3. Aussenegg, W. (2000). Privatization versis private sector: Initial public offerings in Poland. Multinational Finance Journal, 1-2 (4), 69-99.
  4. Balvers, R., McDonald, W., Miller, R. (1988). Underpricing of new issues and the choice of auditors as a signal of investment banker reputation. Accounting Review, 63, 605-622.
  5. Barry, C., Muscarella, C., Peavy, J., Vetsuypens, M. (1990). The role of venture capital in the creation of public companies: evidence from the going-public process. Journal of Financial Economics, 2 (27), 447-471.
  6. Beaty, R., Welch, I. (1986). Investment bankin, reputation, and the underpricing of initial public offerings. Journal of Financial Economics, 15, 213-232.
  7. Bodnaruk, A. (2009). Proximity always matters: local bias when the set of local companies changes. The European Financial Review, 13, 629-656.
  8. Booth, J., Chua, L. (1996). Ownership dispersion, costly information, and the IPO underpricing. Journal of Financial Economics, 41, 291-310.
  9. Booth, J., Smith, R. (1986). Capital raising, underwriting and the certification hypothesis. Journal of Financial Economics, 15, 261-281.
  10. Brav, A., Gompers, P. (2003). The role of lockups in initial public offerings. The Review of Financial Studies, 1 (16), 1-29.
  11. Carter, R., Manaster, S. (1990). Initial Public Offerings and Underwriter Reputation. Journal of Finance, 45, 1045-1067.
  12. Chachine, S. (2006). The impact of founders ownership, social impact and investors on IPO stockmarket performance. Academy of Management Journal.
  13. Coval, J., Moskowitz, T. (2005). The role of IPO underwriting syndicates: Pricing, information production and underwriter competition. The Journal of Finance, 60, 443-486.
  14. Grinblatt, M., Hwang, C. (1989). Signaling and the pricing of unseasoned new issues. Journal of Finance, 44, 393-420.
  15. Gurun, U., Butler, A. (2012). Don't believe the hype: local media slant, local advertising, and firm value. Journal of Finance, 2 (67), 561-597.
  16. Hughes, P., Thakor, A. (1992). Litigation risk, intermediation and the underpricing of initial public offerings. Review of Financial Studies, 5, 709-742.
  17. Jewartowski, T., Lizinska, J. (2012). Short- and long-term performance of Polish IPOs. Emerging Markets Finance and Trade, 2 (48), 59-75.
  18. Knopf, J., Teall, J. (1999). The IPO effect and measurement of risk. Journal of Accounting and Finance, 2 (4), 35-52.
  19. Lin, T., Smith R. (1998). Insider reputation and selling decisions: the unwinding of venture capital investment during equity IPOs. Journal of Corporate Finance, 3 (4), 241-263.
  20. Loughran, T., Ritter, J. (2002). Why don't issuers get upst about leaving money on the table in IPOs? Review of Financial Studies, 65, 413-443.
  21. Loughran, T., Ritter, J., Rydqvist, K. (published in 1994, updated May 4, 2016). Initial Public Offerings: International Insights. Pacific-Basin Finance Journal, 165-199.
  22. Lyn, E., Zychowicz, E. (2003). The performance of new equity offerings in Hungary and Poland. Global Finance Journal, 14, 181-195.
  23. Massa, M., Simonov, A. (2006). Hedging, familiarity and portfolio choice. Review of Financial Studies, 19, 633-685.
  24. Megginson, W., Weiss, K. (1991). Venture capitalist certification in initial public offerings. The Journal of Finance, 3 (46), 879-903.
  25. Menyah, K., Paudyal, K., Inyangete, C. (1995). Subscriber return, underpricing, and long-term performance of UK privatization initial public offerings. Journal of Economics and Business, 5 (47), 473-495.
  26. Michaely, R., Shaw, W. (1994). The pricing of initial public offerings: Tests of adverse selection and signaling theories. Review of Financial Studies, 7, 279-319.
  27. Mohan, J., Chen, R. (2001). Information content of lock-up provisions in initial public offerings. International Review of Economics Finance, 1 (10), 41-59.
  28. Muscarella, C., Vetsuypens, M. (1989). A simple test of Baron's model of IPO underpricing. Journal of Financial Economics, 24, 125-136.
  29. Paudyal, K., Saadouni, B., Briston, R. (1998). Privatization initial public offerings in Malaysia: initial premium and long-term performance. Pacific-Basin Finance Journal, 427-451.
  30. Rhee, S. (2002). A review of the New Issue Puzzles. OECD Round table on Capital Markets Round Table on Capital Market Reform in Asia. Tokyo.
  31. Ritter, J., Welch, I. (2002). A review of IPO activity, pricing, and allocations. Journal of Finance, 57, 1795-1828.
  32. Rock, K. (1986). Why new issues are underpriced. Journal of Financial Economics, 15, 187-212.
  33. Sieradzki, R. (2013). Does it pay to invest in IPOs? Evidence from the Warsaw Stock Exchange. Warsaw: National Bank of Poland.
  34. Sukacz, D. (2005). Pierwszy oferty publiczne na rynkach kapitalowych. Cedetu.
  35. Tinic, S. (1988). Anatomy of initial public offerings of common stock. Journal of Finance, 43, 789-822.
  36. Titman, S., Trueman , B. (1986). Information quality and the valuation of new issues. Journal of Accounting and Economics, 8, 159-172.
  37. Welch, I. (1989). Seasoned offerings, imitations costs and the underpricing of initial public offerings. Journal of Finance, 44, 421-450.
  38. Welch, I. (1992). Sequential sales, learning and cascades. Journal of Finance, 47, 695-732.
Cited by
Show
ISSN
2450-7741
Language
eng
URI / DOI
http://dx.doi.org/10.18276/frfu.2018.91-21
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu