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Three essays on new issue markets.

Jones, Travis Lane.

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Three essays on new issue markets.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Three essays on new issue markets./
作者:	Jones, Travis Lane.
面頁冊數:	98 p.
附註:	Source: Dissertation Abstracts International, Volume: 67-01, Section: A, page: 0101.
Contained By:	Dissertation Abstracts International67-01A.
標題:	Education, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3201266
ISBN:	9780542490941

Three essays on new issue markets.
Jones, Travis Lane.

Three essays on new issue markets. - 98 p.

Source: Dissertation Abstracts International, Volume: 67-01, Section: A, page: 0101.

Thesis (Ph.D.)--The University of Alabama, 2005.

This dissertation first presents an overview of how single stock futures (SSF) have developed since their introduction in the United States and presents a number of reasons why individual investor interest in SSF may not have reached its potential. This study notes that SSF volumes are very low, and implied interest rates indicate that SSF settlement prices often have little relation to their respective underlying stock's closing prices. It also presents evidence of a number of non-dividend paying companies with underlying stock prices that closed above the settlement prices of their respective SSF, contradicting the carry arbitrage model.

ISBN: 9780542490941Subjects--Topical Terms:

1020300
Education, Finance.

Three essays on new issue markets.
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500 $a Advisers: Robert E. Brooks; James A. Ligon.
502 $a Thesis (Ph.D.)--The University of Alabama, 2005.
520 $a This dissertation first presents an overview of how single stock futures (SSF) have developed since their introduction in the United States and presents a number of reasons why individual investor interest in SSF may not have reached its potential. This study notes that SSF volumes are very low, and implied interest rates indicate that SSF settlement prices often have little relation to their respective underlying stock's closing prices. It also presents evidence of a number of non-dividend paying companies with underlying stock prices that closed above the settlement prices of their respective SSF, contradicting the carry arbitrage model.
520 $a Second, this work presents evidence of the presence of two calendar anomalies in initial public offering (IPO) initial returns. A Monday effect, where IPOs offered on Mondays have higher mean initial returns, is found to exist. A less robust February effect, where IPOs offered in Februarys have higher initial returns, is also found to exist. The Monday effect is found to be present over the period from 1980 to 1994, and is present from 1995 to 2003, but only in IPOs that trade on their offer date. No monthly calendar effect is found to consistently hold throughout time. Average volume for IPOs offered on Mondays is found to be much lower than other IPOs on the offer date but higher on the days after the offer.
520 $a Third, this dissertation examines the relationship between underwriter reputation and IPO initial returns from 1980 to 2003. When considering the choice of the reputation of underwriter as endogenous to the characteristics of the firm, the reputation of an underwriter is found to be negatively related to IPO initial returns for the 1980s and 1990s. When segmenting firms based on the dollar amount that a firm files to raise in its offering, a significantly negative relation between reputation and initial returns is found for firms in the 1980s that file in the two middle file amount quartiles. Only IPOs in the third file amount quartile in the 1990s are found to exhibit a significantly positive relationship between underwriter reputation and initial returns.
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