Aftermarket Volatility and Underpricing of Canadian Initial Public Offerings

27 Pages Posted: 22 Jan 2002

See all articles by Vijay M. Jog

Vijay M. Jog

Carleton University - Eric Sprott School of Business

Liping Wang

Corporate Renaissance Group

Date Written: January 20, 2002

Abstract

This paper investigates the aftermarket volatility and underpricing of the Initial Public Offerings (IPO) listed on Toronto Stock Exchange during the period 1990-1999. The results indicate that the aftermarket volatility has increased significantly for IPOs issued in the recent years. The decomposition of the aggregate aftermarket volatility in market, industry and firm-specific components reveals that the increase is mostly attributable to firm-specific risk. We also find that the volatility of IPOs is smaller than that of comparable (matched) seasoned stocks. Although our results show an overall positive relationship between IPO underpricing and aftermarket volatility, we find that this relationship has become considerably weaker in recent years. We find no obvious explanation for these findings.

Keywords: Aftermarket volatility, underpricing, Initial Public Offerings, IPO

JEL Classification: G14

Suggested Citation

Jog, Vijay M. and Wang, Liping, Aftermarket Volatility and Underpricing of Canadian Initial Public Offerings (January 20, 2002). Available at SSRN: https://ssrn.com/abstract=297719 or http://dx.doi.org/10.2139/ssrn.297719

Vijay M. Jog (Contact Author)

Carleton University - Eric Sprott School of Business ( email )

1125 Colonel By Drive
Ottawa, Ontario K1S SB6
Canada
613-520-2600 (Phone)
613-520-4427 (Fax)

Liping Wang

Corporate Renaissance Group ( email )

6 Antares Drive, Phase II, Suite 206
Ottawa, Ontario, K2E 8A9
K2E 8A9 Canada
613-232-4295 (Phone)
613-232-7276 (Fax)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
444
Abstract Views
1,713
rank
66,902
PlumX Metrics