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Volume 68, Issue 2

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IPOs in the U.S. from 2005 to 2015: Using the Spline Regression Technique to Estimate Aggregate Issuance and Performance

Mumtaz, Muhammad Zubair; Smith, Zachary Alexander

Year: 2018   Volume: 68   Issue: 2   Pages: 165-199

Abstract: The objective of this paper was to explore the relationship between IPO returns and performance on the U.S. Equity Exchanges from 2005 to 2015. To conduct this analysis, we used two independently drawn samples, a primary sample, which ran from 2005 to 2015 and, an out of sample comparison, which ran from 1996 to 2008. While conducting our analyses we incorporated a new heat variable and compared its ability to describe aggregate issuance and performance against a standard heat variable, we illustrated how events can affect IPO issuance and performance and incorporated those events into a model of performance and volume, and to incorporate these events into our models we integrated the spline regression technique into our model, which improved the fit of our model substantially over methods that could be seen as alternative modeling techniques. We believe that our use of events in the modeling process provides a more accurate representation of the underlying dynamics of the processes that are causing changes in IPO performance and issuance and that our application of the spline regression technique to model IPO performance and issuance provides researchers with an important tool that could help them to better estimate, model, and understand the true determinates of IPO performance and issuance.

JEL classification: G12, G14

Keywords: initial public offerings, spline regression, cycles

RePEc: https://ideas.repec.org/a/fau/fauart/v68y2018i2p165-199.html

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