Market Volatility and IPO Filing Activity

Quarterly Journal of Finance, Volume 05, Issue 04, December 2015, 46 pages

55 Pages Posted: 8 Dec 2016

See all articles by Walid Y. Busaba

Walid Y. Busaba

University of Western Ontario - Ivey Business School

Daisy Li

Bank of Montreal Financial Group

Guorong Yang

Bank of Montreal Financial Group

Date Written: December 2015

Abstract

The IPO filing volume is positively related to changes in market volatility, especially when market returns are at ‘normal’ levels. This is consistent with the view that filing with the SEC gives would-be issuers an ‘option’ on market valuations. Creating this option is attractive not only when market valuations rise but also when volatility increases, and the effect of volatility is more pronounced when market returns are neither high nor low. We therefore identify a distinct type of ‘window of opportunity’ for firms attempting to go public, characterized not particularly by strong stock valuations but by increased volatility in valuations.

Keywords: Initial public offerings, Bookbuilding, Price discovery, Option to withdraw, Option to go public, Market volatility, Market timing

JEL Classification: G2, G3, K2

Suggested Citation

Busaba, Walid Y. and Li, Daisy and Yang, Guorong, Market Volatility and IPO Filing Activity (December 2015). Quarterly Journal of Finance, Volume 05, Issue 04, December 2015, 46 pages. Available at SSRN: https://ssrn.com/abstract=2881637

Walid Y. Busaba (Contact Author)

University of Western Ontario - Ivey Business School ( email )

1255 Western RoD
London, Ontario N6G 0N1
Canada
519-661-4178 (Phone)
519-661-4184 (Fax)

HOME PAGE: http://www.ivey.uwo.ca/faculty/directory/walid-busaba/

Daisy Li

Bank of Montreal Financial Group ( email )

100 King Street West
Toronto, Ontario M5X 1A1
Canada

Guorong Yang

Bank of Montreal Financial Group ( email )

100 King Street West
Toronto, Ontario M5X 1A1
Canada

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