IPO First-Day Returns, Offer Price Revisions, Volatility, and Form S-1 Language
University of Notre Dame
University of Notre Dame - Mendoza College of Business - Department of Finance
February 5, 2013
Journal of Financial Economics (JFE), Forthcoming
Form S-1 is the first SEC filing in the initial public offering (IPO) process. The tone of the S-1, in terms of its definitiveness in characterizing the firm’s business strategy and operations, should affect investors’ ability to value the IPO. We find that IPOs with high levels of uncertain text have higher first-day returns, absolute offer price revisions, and subsequent volatility. Our findings provide empirical evidence for the theoretical models of uncertainty, bookbuilding, and prospect theory.
Number of Pages in PDF File: 57
Keywords: IPOs, first-day returns, bookbuilding, S-1 filings, textual analysis
JEL Classification: G14, G18, G24
Date posted: August 13, 2012 ; Last revised: February 8, 2013
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