The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Initial Public Offerings as Lotteries: Skewness Preference and First-Day Returns
Abstract
We find that initial public offerings (IPOs) with high expected skewness experience significantly greater first-day returns. The skewness effect is stronger during periods of high investor sentiment and is related to differences in skewness across industries as well as to time-series variation in the level of skewness in the market. IPOs with high expected skewness earn more negative abnormal returns in the following one to five years. High expected skewness is also associated with a higher fraction of small-sized trades on the first day of trading, which is consistent with a greater shift in holdings from institutions to individuals. The results suggest that first-day IPO returns are related to a preference for skewness. This paper was accepted by Brad Barber, Teck Ho, and Terrance Odean, special issue editors.
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Citations
Cites
Prospect Theory: An Analysis of Decision under Risk
Kahneman, D., & Tversky, A. (1979) · Econometrica · doi:10.2307/1914185 · Cited by 48,524
Advances in prospect theory: Cumulative representation of uncertainty
Tversky, A., & Kahneman, D. (1992) · Journal of Risk and Uncertainty · doi:10.1007/bf00122574 · Cited by 15,467
Cited by
Thirty Years of Prospect Theory in Economics: A Review and Assessment
Barberis, N. (2012) · SSRN Electronic Journal · doi:10.2139/ssrn.2177288 · Cited by 293
Metadata
- Authors
- Green, T. C., & Hwang, B.-H.
- Venue
- Management Science
- Published
- 2012-02
- Volume
- 58
- Issue
- 2
- Pages
- 432-444
- ISSN
- 0025-1909 (ISSN-L)
- 1526-5501
- OpenAlex
- W2063213596
- Cited by
- 206
- References
- 2
- FWCI
- 17.80
- Type
- journal article
- Language
- en
- Open access
- closed
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