(208) * ** IPOs ( ) * **
(209) Market EfficiencyAnomaly Behavioral Finance Information Asymmetry Initial Public Offerings, IPOs Size Effect Value Effect January Effect Going Public IPOs IPOs IPOs IPOs IPOs Aggarwal and Rivoli 1990Ritter 1991 Levis 1993 IPOs Aggarwal and Rivoli IPOs IPOs Fads Ritter IPOs IPOsWindows of Opportunity IPOs IPOs Window Dressing Earnings Manipulation Discretionary Accounting Accruals Reverse Teoh, Welch, and Wong 1998 IPOs IPOs 15% 30% IPOs
(210) Carter and Manaster 1990 IPOs IPOs IPOs Ball and Shivakumar 2008 DeAngelo 1981 Earnings Quality Underwriter ReputationInstitutional Ownership Auditor ReputationIPOs IPOs
(211) 1
(212) Teoh et al. 1998 1980 1992 IPOs IPOs IPOs 15% 30% Chan, Cooney, Kim, and Singh 2008 1980 2000 NYSE AMSE NASDAQ IPOs Discretionary Accounting Accruals Underwriter Reputation Venture Capital Backing IPOs IPOs IPOs Chan, Chan, Jegadeesh, and Lakonishok 2006 1971 1995 NYSEAMEX NASDAQ IPOs Ducharme, Malatesta, and Sefcik 2001IPOs
(213) IPOs Sloan 1996 1962 1991 NYSE AMEX IPOs Carter, Dark, and Singh 1998 1979 1991 NYSE AMEX NASDAQ IPOs IPOs IPOs Helou and Park 2001 Carter and Manaster 1990 IPOs IPOs IPOs Logue, Rogalski, Seward, and Foster-Johnson 2002 1988 1995 Securities Data Corporation New Issues Database IPOsIPOs IPOs IPOs IPOs Menon and Williams 1991 1985 1986 SEC IPOs IPOs Michaely and Shaw 1995 1984 1998 The Directory of Corporate FinancingIPOs IPOs
(214) IPOs Francis, Maydew, and Sparks 1999 1974 1994 NASDAQ 2007 1 Buy and Hold Abnormal Returns 2 Krishnan 2003 Agency Cost Boehmer, Boehmer, and Fishe 2006 Field and Lowry 2005 1980 2000 SDC IPOs IPOs IPOs 2006 Dor 2003IPOs 1%
(215) Momentum Trader Herding Behavior Sias 2004 Informational Cascade 2006 Nofsinger and Sias 1999 Positive-feedback Trade Scharfstein and Stein 1990 Sharing-the- Blame Phalippou 2008 1.85% 0.13% 1. 2. 2001 1 2008 12 2000 2001 2008 (1) 2001 1 2005 12 (2) 2001 1 2008 12 3. TSEC TEJ 4. 2001 2005
(216) IPOs 254 (1) (2) Discretionary Accruals, DA (3) Survival Bias IPOs 201 1. Ritter 19912007 IPOsBuy and Hold Abnormal Return BHAR (1) BHAR i,t R i,t i t R t TEJ R m,t t n n n=36 36 (2) BHAR p,t
(217) p 2. Total Accruals, TA Sloan 1996 Chan et al. 2006 t t t 3. Discretionary Accruals, DA Dechow, Sloan, and Sweeny 1995 Healy Model DeAngelo Model Jones Model Modified Jones Model Industry Model Modified Jones Model Subramanyam 1996 DeFond and Subramanyam 1998 Jones Jones Jones i,t 1 i i i,t a 1 a 2 i i i i (1) i a 0 i i t t Jones â 0 â 1 â 2 12 (2) t = [â 0 + â 1 i - i + â 2 i,t] / i 2 Jones (3) t = t / t DA DADA DA
(218) 4. =- 5. 6. 1995 Carter and Manaster 1990 Hayes 1971 Carter and Manaster The Tombstone Announcements Hayes 1 27 7. Francis et al. 1999Becker, Defond, Jiambalvo, and Subramanyam 1998 Palmrose 1988 IPOs 8. =+ + / 9. = IPOs - IPOs 10. IPOs 11. B/MTEJ B/M
(219) 1. Jones IPOs 2. IPOs IPOs IPOs Earnings Quality Underwriter Reputation Auditor Reputation Institutional Ownership IPOs 1 1 IPOs 63.18% 1 IPOs % % 3 1.49 25 12.44 9 4.48 21 10.45 4 1.99 28 13.93 5 2.49 20 9.95 3 1.49 29 14.43 8 3.98 13 6.47 4 1.99 7 3.48 7 3.48 15 7.46 2 IPOs -0.5912 IPOs IPOsIPOs 51.8585%
(220) 1 0 2 0.8905 IPOs 2 2 IPOs -0.5912 0.0074 0.0030 0.6752 0.1359-0.2369 0.0304 0.0194 0.3477 0.1146 0.060 1.0266 0.8443 4.8703 0.7469 0.0810 1.0569 0.8781 4.9419 0.7706 1 20.5522 21 27 6.0157 % 0 8.1303 4.2281 51.8585 9.8369 0 0.8905 1 1 0.3130 0.21 5.6978 2.14 113.58 12.0693-9.83 1.0177 0.27 37.58 3.5566 377 8,536 3,703 185,810 20,306.139 0.0556 0.5376 0.4608 1.1818 0.3237 3-0.0900 0.1039 1% IPOsIPOs IPOs IPOs IPOsBHAR 17.0521% 10% IPOs BHAR 8.9579%IPOs IPOs 4 IPOs Hayes 1971 4 IPOs IPOs IPOs
(221) 15.8460% 10%IPOs 10.0951% % 3 IPOs -0.0900 *** 0.1039 *** -11.076 9.725 1.1232 *** 0.9308 *** 13.856 14.001 1.0870 *** 1.0271 *** 12.840 14.956 20.3000 *** 20.8020 *** 33.953 34.434 7.6063 *** 8.6491 *** 7.681 8.876 0.9100 *** 0.8713 *** 31.639 26.018 17.0521% * 8.9579% 1.407 0.850 1. t * 10% ** 5% *** 1% 2. 3. BHAR 4 IPOs -0.0130 0.0275 ** -1.061 1.895 0.9709 *** 1.0817 *** 14.138 13.561 0.9846 *** 1.1286 *** 13.913 13.739 16.27 *** 24.7921 *** 28.371 136.613 % 7.2870 *** 8.9652 *** 7.846 8.722 0.8700 *** 0.9109 *** 25.740 31.972 10.0951% 15.8460% * 0.932 1.328 1. t * 10% ** 5% *** 1% 2. 3. BHAR
(222) 5 IPOs IPOs 23.7713% 5% IPOs 2.3051% 5 IPOs IPOs % 5 IPOs 0.0035 0.264 1.0233 *** 11.378 1.0356 *** 11.313 20.0500 *** 30.598 1.7628 *** 12.767 0.9000 *** 29.850 23.7713% ** 1.878 0.0113 0.807 1.0298 *** 18.445 1.0780 *** 18.127 21.0495 *** 39.036 14.4347 *** 13.772 0.8812 *** 27.234 2.3051% 0.235 1. t * 10% ** 5% *** 1% 2. 3. BHAR 5 IPOs IPOs Scharfstein and Stein 1990
(223) Sharing-the-Blame 6 IPOs IPOs IPOs IPOs 13.5251% 10% IPOs 8.5887% % 6 IPOs 0.0199 1.038 0.8594 *** 7.889 0.9086 *** 7.711 19.6364 *** 14.950 7.7141 *** 3.842 0-8.5887% 0.316 0.0059 0.557 1.0471 *** 18.207 1.0752 *** 18.149 20.6648 *** 46.037 8.1814 *** 11.044 1-13.5251% * 1.641 1. t * 10% ** 5% *** 1% 2. 3. BHAR IPOs IPOs IPOs IPOs
(224) 7-7.1111% 85.9851% % 7 IPOs -0.0993 *** -5.801 1.3259 *** 6.755 1.3088 *** 6.492 23.8636 *** 57.859 11.5077 *** 6.142 1 - -7.1111% -0.357 0.0819 ** 2.399 0.7325 *** 6.950 0.8558 *** 7.777 14.8000 *** 4.213 0.4393 1.239 0-85.9851% 0.861 1. t * 10% ** 5% *** 1% 2. 3. BHAR IPOs 5 IPOs IPOs IPOs 8 71.5034% 5% -30.8637% 10% 8-0.0708 1% 0.0258 5% IPOs IPOs 71.5034%
(225) 8 IPOs % -0.0708 *** -5.546 1.1965 *** 5.185 1.1563 *** 4.733 24.9091 *** 54.696 1.4398 *** 5.990 0.0258 ** 2.612 1.1660 ** 3.046 1.2488 ** 2.906 18.2000 *** 15.722 11.5155 ** 3.172 1 0 - - 71.5034% ** -30.8637% * 1.879-1.694 1. t * 10% ** 5% *** 1% 2. 3. BHAR Robustness IPOsGrowth StockValue Stock Robustness Test IPOs Robustness Test 9 16IPOs 30% 40% 30% 30% Growth Stock 30% Value Stock 9 IPOs 24.6311% 10% IPOs 18.5328% 10 9 11 IPOs
(226) 28.2433% IPOs 16.4880% 10% 12 11 13 IPOs 24.0534% 10% 19.1105% 14 IPOs -3.0053% 18.0347% 15 IPOs 27.4998% 5%-43.5146% 5% 16 15 IPOs Robustness Test 9 IPOs IPOs % -0.1226 *** -5.992 1.3946 *** 7.663 1.3622 *** 7.330 20.0000 *** 16.712 12.0213 *** 5.871 0.9667 *** 29.000 24.6311% * 1.383 0.1154 *** 6.474 1.0585 *** 9.187 1.1913 *** 9.974 21.6333 *** 19.110 9.5651 *** 6.471 0.8667 *** 13.730 18.5328% 0.993 1. t * 10% ** 5% *** 1% 2. 3. BHAR
(227) % 10 IPOs IPOs -0.0645 *** 0.1054 *** -6.631 3.834 0.8706 *** 0.8000 *** 8.673 6.816 0.8200 *** 0.8387 *** 7.691 6.865 19.2333 *** 19.2333 *** 14.850 14.266 3.1558 *** 5.4081 *** 4.324 3.553 0.9000 *** 0.8667 *** 16.155 13.730 15.6935% -0.6641% 0.531-0.035 1. t * 10% ** 5% *** 1% 2. 3. BHAR % 11 IPOs IPOs -0.0370 * 0.0401-1.448 1.251 1.2099 *** 1.2483 *** 7.605 8.619 1.2486 *** 1.3136 *** 7.624 9.384 17.3235 *** 25.3846 *** 15.578 86.365 11.1219 *** 10.3633 *** 6.854 5.107 0.91177 *** 0.9231 *** 18.466 17.321 16.4880% 28.2433% * 0.985 1.404 1. t * 10% ** 5% *** 1% 2. 3. BHAR
(228) % 12 IPOs IPOs -0.0049 0.0494 * -0.343 1.413 0.7879 *** 0.8894 *** 8.101 7.278 0.7813 *** 0.8843 *** 7.888 6.747 14.7188 *** 24.3929 *** 11.881 61.053 2.4778 *** 6.3439 *** 4.424 3.880 0.8438 *** 0.9286 *** 12.938 18.735 0.2983% 15.7620% 0.013 0.573 1. t * 10% ** 5% *** 1% 2. 3. BHAR % 13 IPOs IPOs -0.0165-0.660 1.4079 *** 7.344 1.4331 *** 7.505 21.5333 *** 19.278 3.1654 *** 7.796 0.9333 *** 20.149 24.0534% * 1.536 0.0093 0.285 1.0452 *** 10.827 1.1204 *** 10.604 20.1000 *** 16.541 18.4210 *** 12.134 0.9000 *** 16.155 19.1105% 0.932 1. t * 10% ** 5% *** 1% 2. 3. BHAR
(229) 14 IPOs IPOs -0.0266 * 0.0675 ** -1.646 2.212 0.8234 *** 0.8472 *** 8.271 7.155 0.8016 *** 0.8570 *** 7.918 6.777 16.8000 *** 21.6667 *** 10.895 25.735 % 0.6886 ** 7.8754 *** 4.882 5.532 0.8667 *** 0.9000 *** 13.730 16.155-3.0053% 18.0347% -0.151 0.625 1. t * 10% ** 5% *** 1% 2. 3. BHAR 15 IPOs IPOs 0.0282-0.0065 0.539-0.295 1.1108 ** 1.2371 *** 2.832 10.808 1.1869 ** 1.2849 *** 2.712 11.210 21.2000 *** 20.7818 *** 9.842 23.578 14.6810 ** 10.4398 *** % 2.346 8.234 0 1 - - -43.5146% ** 27.4998 ** -2.280 2.02 1. t * 10% ** 5% *** 1% 2. 3. BHAR
(230) % 16 IPOs IPOs 0.0071 0.581 0.7168 *** 5.967 0.7256 *** 5.766 15.4286 *** 4.967 2.6186 ** 2.427 0 - -41.9206% ** -2.185 0.0222 1.081 0.8510 *** 9.962 0.8430 *** 9.409 19.7359 *** 20.630 4.5017 *** 4.742 1-14.0439% 0.723 1. t * 10% ** 5% *** 1% 2. 3. BHAR IPOs 2001 1 2005 12 Going Public 2008 12 IPOs BHAR IPOs IPOs IPOs BHAR Growth Stock
(231) Value StockRobustness Test Sharing-the-Blame IPOs IPOs 71.5034% -30.8637%IPOs IPOs 1. 200614(2) 111-150 2. 19953(1) 119-143 3. 2007
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