Neill, John D; Perfect, Steven B; Wiles, Kenneth W - In: Review of Quantitative Finance and Accounting 13 (1999) 3, pp. 261-76
We examine individual IPO betas and provide further evidence that the documented decline in IPO betas results primarily from a seasoning or information effect and not from the delisting of high beta securities. We employ stochastic coefficient regression analysis which permits the estimation of...