Forecasting aggregate stock returns using the number of initial public offerings as a predictor

Large number of Initial Public Offerings (IPOs) reliably predicts subsequent low equally weighted aggregate stock returns and the return differential between small and big firms, both in-sample and out-of-sample. The forecasting patterns are consistent with a behavioral story featuring investor sentiment and limits to arbitrage.

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Year of publication:	2008-10-14
Authors:	Kolev, Gueorgui I.
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 7.2008, 13, p. 1-8
Publisher:	AccessEcon
Subject:	Initial Public Offerings

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Extent:	application/pdf
Type of publication:	Article
Classification:	G1 - General Financial Markets ; G3 - Corporate Finance and Governance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010629588