Skewness Preference and IPO Underpricing: International Evidence

46 Pages Posted: 9 Jan 2019

See all articles by Eunyoung Cho

Eunyoung Cho

National Pension Research Institute

Woojin Kim

Seoul National University - Business School

Date Written: January 2019

Abstract

This paper examines the impact of expected skewness on IPO underpricing based on a comprehensive set of 17,051 IPOs from 23 countries between 1990 and 2013. We find that IPOs with high expected skewness have significantly higher first-day return around the world, confirming the previous results based on U.S. IPOs. Such preference for skewness is more pronounced in countries with relatively higher gambling propensity, a larger number of non-religious population, a more individualistic culture, and a higher newspaper circulation. Moreover, IPOs with high expected skewness significantly underperform those with low expected skewness over a longer horizon, which is exacerbated under a stronger gambling tendency and individualism. Our results provide additional empirical support for skewness preference and pricing of lottery type assets in an international setting.

Keywords: IPO, Skewness Preference, Lottery, Underpricing, International

JEL Classification: G32, G41

Suggested Citation

Cho, Eunyoung and Kim, Woojin, Skewness Preference and IPO Underpricing: International Evidence (January 2019). Available at SSRN: https://ssrn.com/abstract=3310063 or http://dx.doi.org/10.2139/ssrn.3310063

Eunyoung Cho

National Pension Research Institute ( email )

Seoul
Korea, Republic of (South Korea)

Woojin Kim (Contact Author)

Seoul National University - Business School ( email )

1 Gwanak-ro, Gwanak-gu
Seoul, 08826
Korea, Republic of (South Korea)
82-2-880-5831 (Phone)

HOME PAGE: http://cba.snu.ac.kr/en/faculty?mode=view&memberidx=60582&major=6

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
65
Abstract Views
346
rank
355,063
PlumX Metrics