IPO Stocks Performance Imperfection: A Review of Models and Empirical Works
Affiliation(s)
Lecturer of Finance, Department of Business Administration, Gombe State University, Nigeria and a Current PhD Student of Finance with the Department of Accountancy, University of Kelaniya, Kelaniya, Sri Lanka. Senior Lecturer of Finance, Department of Accountancy and Director of Centre for Continuing and Distance Education, University of Kelaniya, Kelaniya, Sri Lanka.
Lecturer of Finance, Department of Business Administration, Gombe State University, Nigeria and a Current PhD Student of Finance with the Department of Accountancy, University of Kelaniya, Kelaniya, Sri Lanka. Senior Lecturer of Finance, Department of Accountancy and Director of Centre for Continuing and Distance Education, University of Kelaniya, Kelaniya, Sri Lanka.
ABSTRACT
Performance of IPO stocks is determined by the returns on a firm’s IPOs and other subsequent issues. Returns are derived from the price swings (volatility) as compared to the offer price so that a favourable swing indicates favourable returns and vice-versa. In the light of this, we review models and empirical works that try to explain these swings and their consequence on the IPOs performance to hypothesize that IPO stocks performance swing (return volatility) is inevitable as far as a real efficient market cannot exist except in a world of utopia. Evidences from the previous studies show that one reason or the other must be achieved or committed to get the IPO stocks marketed at the instance of the issue which subsequently keep influencing the same stocks even in the secondary market over a very long period of time even though at a minimum volatile rate but not completely eliminated. This is what we regard as stocks performance imperfection.
Cite this paper
Bruce, A. and Thilakaratne, P. (2014) IPO Stocks Performance Imperfection: A Review of Models and Empirical Works. American Journal of Industrial and Business Management, 4, 155-166. doi: 10.4236/ajibm.2014.43022.
Bruce, A. and Thilakaratne, P. (2014) IPO Stocks Performance Imperfection: A Review of Models and Empirical Works. American Journal of Industrial and Business Management, 4, 155-166. doi: 10.4236/ajibm.2014.43022.
References
[1] Stoll, H.R. and Curley, A.J. (1970) Small Business and the New Issues Market for Equities. Journal of Financial and Quantitative Analysis, 309-322. http://dx.doi.org/10.2307/2329998 [2] Kendall, M. (1953) The Analysis of Economic Time Series, Part I: Prices. Journal of the Royal Statistical Society, 96, 1953. [3] Gujarati, D.N., Porter, D.C. and Gunasekar, S. (2009) Basic Econometrics. 5th Edition, Tata McGraw-Hill Education private Ltd., New Delhi, 784. [4] Malkiel, B. (1996) A Random Walk down the Wall Street. 6th Edition, W. W Norton, New York. [5] Fama, E.F. and MacBeth, J.D. (1973) Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81, 607-636. http://dx.doi.org/10.1086/260061 [6] Magnus, F.J. and Fosu, O.-T.E. (2006) Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models. American Journal of Applied Sciences, 3, 2042-2048.
http://dx.doi.org/10.3844/ajassp.2006.2042.2048 [7] Elliot, J.D. and Richardson, G. (1976) The Association between Insider Trading and Information Announcements. Journal of Economics, 15, 521-536. [8] Ross, S.A. (1976) The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13, 341-360.
http://dx.doi.org/10.1016/0022-0531(76)90046-6 [9] Ross, S.A. (1976) Return, Risk and Arbitrage. In: Friend, I. and Bicksler, J., Eds., Risk and Return in Finance, Ballinger, Cambridge. [10] Sharpe, W.F. (1964) Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, XIX, 425-442. [11] Lintner, J. (1965) The Valuation of Risk Assets and the Selection of Risky Investments in Stock portfolios and Capital Budgets. Review of Economics and Statistics, XLVII, 13-37.
http://dx.doi.org/10.2307/1924119 [12] Treynor, J.L. (1965) How to Rate Management of Investment Funds. Harvard Business Review, 43, 63-75. [13] Bodie, Z., Kane, A., Marcus, A.J. and Mohanty, P. (2005) Investments. 6th Edition, Tata McGraw-Hill Publishing Company, New Delhi. [14] Chen, N., Roll, R. and Ross, S.A. (1986) Economic Forces and the Stock Market. Journal of Business, 59, 383-403.
http://dx.doi.org/10.1086/296344 [15] Engle, R.F. (1982) Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation. Econometrica, 50, 987-1008. http://dx.doi.org/10.2307/1912773 [16] Bollerslev, T., Engle, R.F. and Nelson, D.B. (1994) ARCH Models. In: Engle, R.F. and Mcfadden, D.L., Eds., Handbook of Econometrics, Elsevier Science, 2959-3037. [17] Bollerslev, T. (1986) Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31, 307-327. http://dx.doi.org/10.1016/0304-4076(86)90063-1 [18] Nelson, D.B. (1991) Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59, 347-370.
http://dx.doi.org/10.2307/2938260 [19] Glosten, L.R., Jagannathan, R. and Runkle, D. (1993) On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance, 48, 1779-1801.
http://dx.doi.org/10.1111/j.1540-6261.1993.tb05128.x [20] Chan, K., Wang, J. and Wei, K.C.J. (2003) Underpricing and Long-term Performance of IPOs in China. Journal of Corporate Finance, 10, 409-430. http://dx.doi.org/10.1016/S0929-1199(03)00023-3 [21] Baron, D. and Holmstrom, B. (1980) The Investment Banking Contract for New Issues under Asymmetric Information: Delegation and the Incentive Problem. Journal of Finance, 35, 1115-1138.
http://dx.doi.org/10.1111/j.1540-6261.1980.tb02199.x [22] Baron, D. (1982) A Model of the Demand for Investment Banking Advising and Distribution Services for New Issues. Journal of Finance, 37, 955-976.
http://dx.doi.org/10.1111/j.1540-6261.1982.tb03591.x [23] Rock, K. (1986) Why New Issues Are Under-Priced. Journal of Financial Economics, 15, 187-212.
http://dx.doi.org/10.1016/0304-405X(86)90054-1 [24] Beatty, R.P. and Ritter, J.R. (1986) Investment Banking, Reputation, and the Underpricing of Initial Public Offerings. Journal of Financial Economics, 15, 213-232. http://dx.doi.org/10.1016/0304-405X(86)90055-3 [25] Logue, D. (1973) On the Pricing of Unseasoned Equity Issues: 1965-1969. Journal of Financial and Quantitative Analysis, 8, 91-103. http://dx.doi.org/10.2307/2329751 [26] Ibbotson, R.G. and Jaffe, J.F. (1975) Hot Issue Markets. Journal of Finance, 30, 1027-1042. [27] Tinic, S.M. (1988) Anatomy of Initial Public Offerings of Common Stock. Journal of Finance, 43, 789-822. [28] Allen, F. and Faulhaber, G.R. (1989) Signalling by Underpricing in the IPO Market. Journal of Financial Economics, 23, 303-323. http://dx.doi.org/10.1016/0304-405X(89)90060-3 [29] Grinblatt, M. and Hwang, C.Y. (1989) Signalling and the Pricing of New Issues. Journal of Finance, 44, 393-420.
http://dx.doi.org/10.1111/j.1540-6261.1989.tb05063.x [30] Welch, I. (1989) Seasoned Offerings, Imitation Cost, and the Underpricing of Initial Public Offerings. Journal of Finance, 44, 421-448. http://dx.doi.org/10.1111/j.1540-6261.1989.tb05064.x [31] Benveniste, L.M. and Spindt, P.A. (1989) How Investment Bankers Determine the Offer Price and Allocation of New Issues. Journal of Financial Economics, 24, 343-362.
http://dx.doi.org/10.1016/0304-405X(89)90051-2 [32] Welch, I. (1992) Sequential Sales, Learning, and Cascades. Journal of Finance, 47, 695-732.
http://dx.doi.org/10.1111/j.1540-6261.1992.tb04406.x [33] Loughran, T., Ritter, J.R. and Rydqvist, K. (1994) Initial Public Offerings: International Insights. Pacific-Basin Finance Journal, 2, 165-199. http://dx.doi.org/10.1016/0927-538X(94)90016-7 [34] Ibbotson, R.G., Sindelar, J.L. and Ritter, J.R. (1988) Initial Public Offerings. Journal of Applied Corporate Finance, 1, 37-45. http://dx.doi.org/10.1111/j.1745-6622.1988.tb00164.x [35] Booth, J. and Chua, L. (1995) Ownership Dispersion, Costly Information, and IPO Underpricing. Journal of Financial Economics, 41, 291-310. http://dx.doi.org/10.1016/0304-405X(95)00862-9 [36] Mauer, D.C. and Senbet, L.W. (1992) The Effect of the Secondary Market on the Pricing of Initial Public Offerings: Theory and Evidence. Journal of Financial and Quantitative Analysis, 24, 55-79. http://dx.doi.org/10.2307/2331298 [37] Ritter, J.R. (1984) The “Hot Issue” Market of 1980. Journal of Business, 57, 215-240.
http://dx.doi.org/10.1086/296260 [38] Ross, S.A., Westerfield, R.W. and Jordan, B.D. (2010) Fundamentals of Corporate Finance. Tata McGraw Hill Education, Inc., New York. [39] Chinzara, Z. (2010) Macroeconomic Uncertainty and Emerging Market Stock Market Volatility: The Case for South Africa. Working Paper, Rhodes University, Grahamstown. [40] Schwert, G.W. (1989) Why Does Stock Market Volatility Change over Time? Journal of Finance, 44, 1115-1153.
http://dx.doi.org/10.1111/j.1540-6261.1989.tb02647.x [41] Olweny, T. and Omondi, K. (2011) The Effects of Macro-Economic Factors on Stock Return Volatility in the Nairobi Stock Exchange. Economic and Finance Review, 1, 34-48. [42] Hsing, Y. (2011) The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications. International Journal of Economics and Financial Issues, 1, 12-18. [43] Benita, G. and Lauterbach, B. (2007) Policy Factors and Exchange Rate Volatility: Panel Data Verses a Specific Country Analysis. Bank of Israel, Foreign Exchange Activity Department, Jerusalem. [44] Ngugi, R.W. and Kabubo, J.W. (1998) Financial Sector Reforms and Interest Rate Liberalization: The Kenya Experience. African Economic Research Consortium, 72. [45] Chen, M.H., Kim, W.G. and Kim, H.J. (2005) The Impact of Macroeconomic and Non-Macroeconomic Forces on Hotel Stock Returns. Hospitality Management, 24, 243-258.
http://dx.doi.org/10.1016/j.ijhm.2004.06.008 [46] Chiang, L.C. and Kee, H.T. (2009) Macro-Economic and Non-Macroeconomic Variables Link to Singapore Hotel Stock Returns. Oxford Business and Economic Conference Program, Oxford, 24-26 June 2009. [47] Walsh, C.E. (2010) Monetary Theory and Policy. 3rd Edition, MIT Press, Cambridge. [48] Shiller, R.J. (1990) The Term Structure of Interest Rates. In: Friedman, B.M. and Hahn, F.H., Eds., Handbook of Monetary Economics, North-Holland, Amsterdan, 626-722. [49] Campbell, J.Y. and Shiller, R.J. (1991) Yield Spreads and Interest Rate Movements: A Bird’s Eye View. Review of Economic Studies, 58, 495-514. http://dx.doi.org/10.2307/2298008 [50] Yaya, O.S. and Shittu, O.I. (2010) On the Impact of Inflation and Exchange Rate on Conditional Market Volatility: A Re-Assessment. American Journal of Scientific and Industrial Research, 1, 115-117.
http://dx.doi.org/10.5251/ajsir.2010.1.2.115.117 [51] Fisher, I. (1930) The Theory of Interest. Macmillan, New York. [52] Bradley, D.J. and Jordan, B.D. (2002) Partial Adjustment to Public Information and IPO Underpricing. Journal of Financial and Quantitative Analysis, 37, 595-616. http://dx.doi.org/10.2307/3595013 [53] Lowry, M. and Schwert, G.W. (200) Is the IPO Pricing Process Efficient? Journal of Financial Economics, 71, 3-26.
http://dx.doi.org/10.1016/S0304-405X(03)00205-8 [54] Loughran, T. and Ritter, J.R. (2002) Why Don’t Issuers Get Upset about Leaving Money on the Table in IPOs? Review of Financial Studies, 15, 413-443. http://dx.doi.org/10.1093/rfs/15.2.413 [55] Harvey, C.R. and Huang, R.D. (1991) Volatility in the Foreign Currency Futures Market. Review of Financial Studies, 4, 543-569. http://dx.doi.org/10.1093/rfs/4.3.543 [56] Harvey, C.R. and Huang, R.D. (1992) Information Trading and Fixed Income Volatility. Unpublished Manuscript, Department of Finance, Duke University, Durham. [57] Harris, L. (1986) A Transaction Data Study of Weekly and Intra-Daily Patterns in Stock Returns. Journal of Financial Economics, 16, 99-117. http://dx.doi.org/10.1016/0304-405X(86)90044-9 [58] Bollerslev, T. and Baillie, R. (1991) Intra Day and Inter Market Volatility in Foreign Exchange Rates. Review of Economic Studies, 58, 565-585. http://dx.doi.org/10.2307/2298012 [59] Gerity, M.S. and Mulherin, J.H. (1992) Trading Halts and Market Activity: An Analysis of Volume at the Open and Close. Journal of Finance, 47, 1765-1784.
http://dx.doi.org/10.1111/j.1540-6261.1992.tb04682.x [60] Engle, R.F. and Mcfadden, D.L. (1994) Hand-Book of Econometrics. Elsevier Science, Amsterdam. [61] Benveniste, L.M. and Wilhelm, W.J. (1990) A Comparative Analysis of IPO Proceeds under Alternative Regulatory Environments. Journal of Financial Economics, 28, 173-207.
http://dx.doi.org/10.1016/0304-405X(90)90052-2 [62] Spatt, C. and Srivastava, S. (1991) Pre-Play Communication, Participation Restrictions, and Efficiency in Initial Public Offerings. Carnegie-Mellon University, Pittsburghers. [63] Povel, P., Singh, R. and Winton, A. (2007) Booms, Busts, and Fraud. Review of Financial Studies, 20, 1219-1254.
http://dx.doi.org/10.1016/0304-405X(90)90052-2 [64] Wang, T.Y., Winton, A. and Yu, X.Y. (2010) Corporate Fraud and Business Conditions: Evidence from IPOs. The Journal of Finance, 62, 2255-2292. [65] Ritter, J.R. (2004) Differences between European and American IPO Markets. European Financial Management, 9, 421-434. http://dx.doi.org/10.1111/1468-036X.00230 [66] Solomon, D.H. (2012) Selective Publicity and Stock Prices. The Journal of Finance, 67, 599-637. [67] Ajao, M.G. (2012) Inflation, Financial Openness, Exchange Rate, and Stock Market Volatility. Indian Journal of Economics and Business, 11. [68] Loughran, T., Ritter, J.R. and Rydqvist, K. (2013) Initial Public Offerings: International Insights. Pacific-Basin Finance Journal, 2, 165-199. [69] Huang, X. (2004) China Stock Price Reactions to Financial Announcements: Evidence from Segmented Markets. Managerial Finance, 30, 62-73. http://dx.doi.org/10.1108/03074350410768976 [70] Schwert, G.W. (1989) Business Cycles, Financial Crises, and Stock Volatility. Carnegie Rochester Conference Series on Public Policy, 31, 83-125.
[1] Stoll, H.R. and Curley, A.J. (1970) Small Business and the New Issues Market for Equities. Journal of Financial and Quantitative Analysis, 309-322. http://dx.doi.org/10.2307/2329998 [2] Kendall, M. (1953) The Analysis of Economic Time Series, Part I: Prices. Journal of the Royal Statistical Society, 96, 1953. [3] Gujarati, D.N., Porter, D.C. and Gunasekar, S. (2009) Basic Econometrics. 5th Edition, Tata McGraw-Hill Education private Ltd., New Delhi, 784. [4] Malkiel, B. (1996) A Random Walk down the Wall Street. 6th Edition, W. W Norton, New York. [5] Fama, E.F. and MacBeth, J.D. (1973) Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81, 607-636. http://dx.doi.org/10.1086/260061 [6] Magnus, F.J. and Fosu, O.-T.E. (2006) Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models. American Journal of Applied Sciences, 3, 2042-2048.
http://dx.doi.org/10.3844/ajassp.2006.2042.2048 [7] Elliot, J.D. and Richardson, G. (1976) The Association between Insider Trading and Information Announcements. Journal of Economics, 15, 521-536. [8] Ross, S.A. (1976) The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13, 341-360.
http://dx.doi.org/10.1016/0022-0531(76)90046-6 [9] Ross, S.A. (1976) Return, Risk and Arbitrage. In: Friend, I. and Bicksler, J., Eds., Risk and Return in Finance, Ballinger, Cambridge. [10] Sharpe, W.F. (1964) Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, XIX, 425-442. [11] Lintner, J. (1965) The Valuation of Risk Assets and the Selection of Risky Investments in Stock portfolios and Capital Budgets. Review of Economics and Statistics, XLVII, 13-37.
http://dx.doi.org/10.2307/1924119 [12] Treynor, J.L. (1965) How to Rate Management of Investment Funds. Harvard Business Review, 43, 63-75. [13] Bodie, Z., Kane, A., Marcus, A.J. and Mohanty, P. (2005) Investments. 6th Edition, Tata McGraw-Hill Publishing Company, New Delhi. [14] Chen, N., Roll, R. and Ross, S.A. (1986) Economic Forces and the Stock Market. Journal of Business, 59, 383-403.
http://dx.doi.org/10.1086/296344 [15] Engle, R.F. (1982) Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation. Econometrica, 50, 987-1008. http://dx.doi.org/10.2307/1912773 [16] Bollerslev, T., Engle, R.F. and Nelson, D.B. (1994) ARCH Models. In: Engle, R.F. and Mcfadden, D.L., Eds., Handbook of Econometrics, Elsevier Science, 2959-3037. [17] Bollerslev, T. (1986) Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31, 307-327. http://dx.doi.org/10.1016/0304-4076(86)90063-1 [18] Nelson, D.B. (1991) Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59, 347-370.
http://dx.doi.org/10.2307/2938260 [19] Glosten, L.R., Jagannathan, R. and Runkle, D. (1993) On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance, 48, 1779-1801.
http://dx.doi.org/10.1111/j.1540-6261.1993.tb05128.x [20] Chan, K., Wang, J. and Wei, K.C.J. (2003) Underpricing and Long-term Performance of IPOs in China. Journal of Corporate Finance, 10, 409-430. http://dx.doi.org/10.1016/S0929-1199(03)00023-3 [21] Baron, D. and Holmstrom, B. (1980) The Investment Banking Contract for New Issues under Asymmetric Information: Delegation and the Incentive Problem. Journal of Finance, 35, 1115-1138.
http://dx.doi.org/10.1111/j.1540-6261.1980.tb02199.x [22] Baron, D. (1982) A Model of the Demand for Investment Banking Advising and Distribution Services for New Issues. Journal of Finance, 37, 955-976.
http://dx.doi.org/10.1111/j.1540-6261.1982.tb03591.x [23] Rock, K. (1986) Why New Issues Are Under-Priced. Journal of Financial Economics, 15, 187-212.
http://dx.doi.org/10.1016/0304-405X(86)90054-1 [24] Beatty, R.P. and Ritter, J.R. (1986) Investment Banking, Reputation, and the Underpricing of Initial Public Offerings. Journal of Financial Economics, 15, 213-232. http://dx.doi.org/10.1016/0304-405X(86)90055-3 [25] Logue, D. (1973) On the Pricing of Unseasoned Equity Issues: 1965-1969. Journal of Financial and Quantitative Analysis, 8, 91-103. http://dx.doi.org/10.2307/2329751 [26] Ibbotson, R.G. and Jaffe, J.F. (1975) Hot Issue Markets. Journal of Finance, 30, 1027-1042. [27] Tinic, S.M. (1988) Anatomy of Initial Public Offerings of Common Stock. Journal of Finance, 43, 789-822. [28] Allen, F. and Faulhaber, G.R. (1989) Signalling by Underpricing in the IPO Market. Journal of Financial Economics, 23, 303-323. http://dx.doi.org/10.1016/0304-405X(89)90060-3 [29] Grinblatt, M. and Hwang, C.Y. (1989) Signalling and the Pricing of New Issues. Journal of Finance, 44, 393-420.
http://dx.doi.org/10.1111/j.1540-6261.1989.tb05063.x [30] Welch, I. (1989) Seasoned Offerings, Imitation Cost, and the Underpricing of Initial Public Offerings. Journal of Finance, 44, 421-448. http://dx.doi.org/10.1111/j.1540-6261.1989.tb05064.x [31] Benveniste, L.M. and Spindt, P.A. (1989) How Investment Bankers Determine the Offer Price and Allocation of New Issues. Journal of Financial Economics, 24, 343-362.
http://dx.doi.org/10.1016/0304-405X(89)90051-2 [32] Welch, I. (1992) Sequential Sales, Learning, and Cascades. Journal of Finance, 47, 695-732.
http://dx.doi.org/10.1111/j.1540-6261.1992.tb04406.x [33] Loughran, T., Ritter, J.R. and Rydqvist, K. (1994) Initial Public Offerings: International Insights. Pacific-Basin Finance Journal, 2, 165-199. http://dx.doi.org/10.1016/0927-538X(94)90016-7 [34] Ibbotson, R.G., Sindelar, J.L. and Ritter, J.R. (1988) Initial Public Offerings. Journal of Applied Corporate Finance, 1, 37-45. http://dx.doi.org/10.1111/j.1745-6622.1988.tb00164.x [35] Booth, J. and Chua, L. (1995) Ownership Dispersion, Costly Information, and IPO Underpricing. Journal of Financial Economics, 41, 291-310. http://dx.doi.org/10.1016/0304-405X(95)00862-9 [36] Mauer, D.C. and Senbet, L.W. (1992) The Effect of the Secondary Market on the Pricing of Initial Public Offerings: Theory and Evidence. Journal of Financial and Quantitative Analysis, 24, 55-79. http://dx.doi.org/10.2307/2331298 [37] Ritter, J.R. (1984) The “Hot Issue” Market of 1980. Journal of Business, 57, 215-240.
http://dx.doi.org/10.1086/296260 [38] Ross, S.A., Westerfield, R.W. and Jordan, B.D. (2010) Fundamentals of Corporate Finance. Tata McGraw Hill Education, Inc., New York. [39] Chinzara, Z. (2010) Macroeconomic Uncertainty and Emerging Market Stock Market Volatility: The Case for South Africa. Working Paper, Rhodes University, Grahamstown. [40] Schwert, G.W. (1989) Why Does Stock Market Volatility Change over Time? Journal of Finance, 44, 1115-1153.
http://dx.doi.org/10.1111/j.1540-6261.1989.tb02647.x [41] Olweny, T. and Omondi, K. (2011) The Effects of Macro-Economic Factors on Stock Return Volatility in the Nairobi Stock Exchange. Economic and Finance Review, 1, 34-48. [42] Hsing, Y. (2011) The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications. International Journal of Economics and Financial Issues, 1, 12-18. [43] Benita, G. and Lauterbach, B. (2007) Policy Factors and Exchange Rate Volatility: Panel Data Verses a Specific Country Analysis. Bank of Israel, Foreign Exchange Activity Department, Jerusalem. [44] Ngugi, R.W. and Kabubo, J.W. (1998) Financial Sector Reforms and Interest Rate Liberalization: The Kenya Experience. African Economic Research Consortium, 72. [45] Chen, M.H., Kim, W.G. and Kim, H.J. (2005) The Impact of Macroeconomic and Non-Macroeconomic Forces on Hotel Stock Returns. Hospitality Management, 24, 243-258.
http://dx.doi.org/10.1016/j.ijhm.2004.06.008 [46] Chiang, L.C. and Kee, H.T. (2009) Macro-Economic and Non-Macroeconomic Variables Link to Singapore Hotel Stock Returns. Oxford Business and Economic Conference Program, Oxford, 24-26 June 2009. [47] Walsh, C.E. (2010) Monetary Theory and Policy. 3rd Edition, MIT Press, Cambridge. [48] Shiller, R.J. (1990) The Term Structure of Interest Rates. In: Friedman, B.M. and Hahn, F.H., Eds., Handbook of Monetary Economics, North-Holland, Amsterdan, 626-722. [49] Campbell, J.Y. and Shiller, R.J. (1991) Yield Spreads and Interest Rate Movements: A Bird’s Eye View. Review of Economic Studies, 58, 495-514. http://dx.doi.org/10.2307/2298008 [50] Yaya, O.S. and Shittu, O.I. (2010) On the Impact of Inflation and Exchange Rate on Conditional Market Volatility: A Re-Assessment. American Journal of Scientific and Industrial Research, 1, 115-117.
http://dx.doi.org/10.5251/ajsir.2010.1.2.115.117 [51] Fisher, I. (1930) The Theory of Interest. Macmillan, New York. [52] Bradley, D.J. and Jordan, B.D. (2002) Partial Adjustment to Public Information and IPO Underpricing. Journal of Financial and Quantitative Analysis, 37, 595-616. http://dx.doi.org/10.2307/3595013 [53] Lowry, M. and Schwert, G.W. (200) Is the IPO Pricing Process Efficient? Journal of Financial Economics, 71, 3-26.
http://dx.doi.org/10.1016/S0304-405X(03)00205-8 [54] Loughran, T. and Ritter, J.R. (2002) Why Don’t Issuers Get Upset about Leaving Money on the Table in IPOs? Review of Financial Studies, 15, 413-443. http://dx.doi.org/10.1093/rfs/15.2.413 [55] Harvey, C.R. and Huang, R.D. (1991) Volatility in the Foreign Currency Futures Market. Review of Financial Studies, 4, 543-569. http://dx.doi.org/10.1093/rfs/4.3.543 [56] Harvey, C.R. and Huang, R.D. (1992) Information Trading and Fixed Income Volatility. Unpublished Manuscript, Department of Finance, Duke University, Durham. [57] Harris, L. (1986) A Transaction Data Study of Weekly and Intra-Daily Patterns in Stock Returns. Journal of Financial Economics, 16, 99-117. http://dx.doi.org/10.1016/0304-405X(86)90044-9 [58] Bollerslev, T. and Baillie, R. (1991) Intra Day and Inter Market Volatility in Foreign Exchange Rates. Review of Economic Studies, 58, 565-585. http://dx.doi.org/10.2307/2298012 [59] Gerity, M.S. and Mulherin, J.H. (1992) Trading Halts and Market Activity: An Analysis of Volume at the Open and Close. Journal of Finance, 47, 1765-1784.
http://dx.doi.org/10.1111/j.1540-6261.1992.tb04682.x [60] Engle, R.F. and Mcfadden, D.L. (1994) Hand-Book of Econometrics. Elsevier Science, Amsterdam. [61] Benveniste, L.M. and Wilhelm, W.J. (1990) A Comparative Analysis of IPO Proceeds under Alternative Regulatory Environments. Journal of Financial Economics, 28, 173-207.
http://dx.doi.org/10.1016/0304-405X(90)90052-2 [62] Spatt, C. and Srivastava, S. (1991) Pre-Play Communication, Participation Restrictions, and Efficiency in Initial Public Offerings. Carnegie-Mellon University, Pittsburghers. [63] Povel, P., Singh, R. and Winton, A. (2007) Booms, Busts, and Fraud. Review of Financial Studies, 20, 1219-1254.
http://dx.doi.org/10.1016/0304-405X(90)90052-2 [64] Wang, T.Y., Winton, A. and Yu, X.Y. (2010) Corporate Fraud and Business Conditions: Evidence from IPOs. The Journal of Finance, 62, 2255-2292. [65] Ritter, J.R. (2004) Differences between European and American IPO Markets. European Financial Management, 9, 421-434. http://dx.doi.org/10.1111/1468-036X.00230 [66] Solomon, D.H. (2012) Selective Publicity and Stock Prices. The Journal of Finance, 67, 599-637. [67] Ajao, M.G. (2012) Inflation, Financial Openness, Exchange Rate, and Stock Market Volatility. Indian Journal of Economics and Business, 11. [68] Loughran, T., Ritter, J.R. and Rydqvist, K. (2013) Initial Public Offerings: International Insights. Pacific-Basin Finance Journal, 2, 165-199. [69] Huang, X. (2004) China Stock Price Reactions to Financial Announcements: Evidence from Segmented Markets. Managerial Finance, 30, 62-73. http://dx.doi.org/10.1108/03074350410768976 [70] Schwert, G.W. (1989) Business Cycles, Financial Crises, and Stock Volatility. Carnegie Rochester Conference Series on Public Policy, 31, 83-125.