IPO under-pricing and its variation by world regions: kernel density findings and inferential results

Morten Dyrmose, Gavin C. Reid

Research output: Contribution to journalArticle

Abstract

In this paper, we investigate under-pricing of the first sale of stock by a private firm to the public (the initial public offering, IPO) [Ritter (2011)], by examining the extent of its variation among the principal regions or continents of the world (e.g., Asia, Africa, Europe). To better understand this phenomenon, we use univariate, non-parametric kernel density estimates [Van Kerm (2012)], as an exploratory tool [Salgado-Ugarte et al. (1993); Fox (1990)], and demonstrate how it provides a useful “visualization” of data [Cox (2005)]. These estimates enabled us to identify by eye what proved to be (as adduced by further explicitly inferential tests) significant cross-country/regional/continental differences in IPO under-pricing. In particular, the European and Asian IPO under-pricing data were found to display statistically significantly different distributional characteristics, with the former distribution being relatively highly peaked, with a thin upper tail, and the latter being lesser peaked, with a fat upper tail.
Original languageEnglish
Pages (from-to)41-48
Number of pages8
JournalThe Capco Institute Journal of Financial Transformation
Volume40
Publication statusPublished - Oct 2014

Fingerprint

Initial public offerings
Underpricing
Kernel density
Asia
Africa
Regional differences
Private firms
Visualization

Cite this

@article{759707d8efc04b609b884aa062776bcd,
title = "IPO under-pricing and its variation by world regions: kernel density findings and inferential results",
abstract = "In this paper, we investigate under-pricing of the first sale of stock by a private firm to the public (the initial public offering, IPO) [Ritter (2011)], by examining the extent of its variation among the principal regions or continents of the world (e.g., Asia, Africa, Europe). To better understand this phenomenon, we use univariate, non-parametric kernel density estimates [Van Kerm (2012)], as an exploratory tool [Salgado-Ugarte et al. (1993); Fox (1990)], and demonstrate how it provides a useful “visualization” of data [Cox (2005)]. These estimates enabled us to identify by eye what proved to be (as adduced by further explicitly inferential tests) significant cross-country/regional/continental differences in IPO under-pricing. In particular, the European and Asian IPO under-pricing data were found to display statistically significantly different distributional characteristics, with the former distribution being relatively highly peaked, with a thin upper tail, and the latter being lesser peaked, with a fat upper tail.",
author = "Morten Dyrmose and Reid, {Gavin C.}",
year = "2014",
month = "10",
language = "English",
volume = "40",
pages = "41--48",
journal = "The Capco Institute Journal of Financial Transformation",

}

IPO under-pricing and its variation by world regions : kernel density findings and inferential results. / Dyrmose, Morten; Reid, Gavin C.

In: The Capco Institute Journal of Financial Transformation, Vol. 40, 10.2014, p. 41-48.

Research output: Contribution to journalArticle

TY - JOUR

T1 - IPO under-pricing and its variation by world regions

T2 - kernel density findings and inferential results

AU - Dyrmose, Morten

AU - Reid, Gavin C.

PY - 2014/10

Y1 - 2014/10

N2 - In this paper, we investigate under-pricing of the first sale of stock by a private firm to the public (the initial public offering, IPO) [Ritter (2011)], by examining the extent of its variation among the principal regions or continents of the world (e.g., Asia, Africa, Europe). To better understand this phenomenon, we use univariate, non-parametric kernel density estimates [Van Kerm (2012)], as an exploratory tool [Salgado-Ugarte et al. (1993); Fox (1990)], and demonstrate how it provides a useful “visualization” of data [Cox (2005)]. These estimates enabled us to identify by eye what proved to be (as adduced by further explicitly inferential tests) significant cross-country/regional/continental differences in IPO under-pricing. In particular, the European and Asian IPO under-pricing data were found to display statistically significantly different distributional characteristics, with the former distribution being relatively highly peaked, with a thin upper tail, and the latter being lesser peaked, with a fat upper tail.

AB - In this paper, we investigate under-pricing of the first sale of stock by a private firm to the public (the initial public offering, IPO) [Ritter (2011)], by examining the extent of its variation among the principal regions or continents of the world (e.g., Asia, Africa, Europe). To better understand this phenomenon, we use univariate, non-parametric kernel density estimates [Van Kerm (2012)], as an exploratory tool [Salgado-Ugarte et al. (1993); Fox (1990)], and demonstrate how it provides a useful “visualization” of data [Cox (2005)]. These estimates enabled us to identify by eye what proved to be (as adduced by further explicitly inferential tests) significant cross-country/regional/continental differences in IPO under-pricing. In particular, the European and Asian IPO under-pricing data were found to display statistically significantly different distributional characteristics, with the former distribution being relatively highly peaked, with a thin upper tail, and the latter being lesser peaked, with a fat upper tail.

M3 - Article

VL - 40

SP - 41

EP - 48

JO - The Capco Institute Journal of Financial Transformation

JF - The Capco Institute Journal of Financial Transformation

ER -