Determinants of Idiosyncratic Volatility for Biotech IPO Firms

23 Pages Posted: 5 Jun 2007 Last revised: 29 Sep 2013

Jay Inghwee Chok

Keck Graduate Institute of Applied Life Sciences

Qian Sun

Fudan University

Abstract

In this paper we examine the cross-sectional determinants of idiosyncratic volatility of biotech IPO firms. We extend current research in two directions. First, we test whether CEO stock options impact on idiosyncratic volatility. Second, we test new hypotheses that relate some easily identifiable managerial characteristics to idiosyncratic volatility. We find that the CEO stock options, resource dependence capabilities, and the age of board members help predict idiosyncratic volatility. Our results are robust for the various measures of idiosyncratic volatility and model specifications.

Keywords: Entrepreneurship, Life Science, NASDAQ, IPO

JEL Classification: G30, K20, M13, O32

Suggested Citation

Chok, Jay Inghwee and Sun, Qian, Determinants of Idiosyncratic Volatility for Biotech IPO Firms. USC Marshall School of Business Research Paper; Financial Management, 2007. Available at SSRN: https://ssrn.com/abstract=991072

Jay Inghwee Chok (Contact Author)

Keck Graduate Institute of Applied Life Sciences ( email )

Claremont, CA 91711
United States

HOME PAGE: http://www.kgi.edu/faculty-and-research/jay-i-chok

Qian Sun

Fudan University ( email )

No. 670, Guoshun Road
No.670 Guoshun Road
Shanghai, 200433
China
86 21 25011094 (Phone)

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