Abstract

http://ssrn.com/abstract=2128766
 
 

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IPO First-Day Returns, Offer Price Revisions, Volatility, and Form S-1 Language


Tim Loughran


University of Notre Dame

Bill McDonald


University of Notre Dame - Mendoza College of Business - Department of Finance

February 5, 2013

Journal of Financial Economics (JFE), Forthcoming

Abstract:     
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

working papers series





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Date posted: August 13, 2012 ; Last revised: February 8, 2013

Suggested Citation

Loughran, Tim and McDonald, Bill, IPO First-Day Returns, Offer Price Revisions, Volatility, and Form S-1 Language (February 5, 2013). Journal of Financial Economics (JFE), Forthcoming. Available at SSRN: http://ssrn.com/abstract=2128766 or http://dx.doi.org/10.2139/ssrn.2128766

Contact Information

Tim Loughran (Contact Author)
University of Notre Dame ( email )
Department of Finance
245 Mendoza College of Business
Notre Dame, IN 46556-5646
United States
574-631-8432 (Phone)
574-631-5255 (Fax)
Bill McDonald
University of Notre Dame - Mendoza College of Business - Department of Finance ( email )
P.O. Box 399
Notre Dame, IN 46556-0399
United States
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