S.L. Ibbotson, A.F. Long, T.A. Sheldon and J. Mason
Reports a postal survey of 175 senior district health authoritymanagers to determine the extent to which the Effective Health Care(EHC) bulletin No. 1 has effectively disseminated…
Abstract
Reports a postal survey of 175 senior district health authority managers to determine the extent to which the Effective Health Care (EHC) bulletin No. 1 has effectively disseminated the results of a systematic review of the effectiveness of population‐based bone density screening for osteoporosis to health care commissioners in district health authorities; and a supplement outlining the process of critical appraisal. The information in the bulletin was perceived by a large majority as “correct”. A positive correlation was found between confidence to act and having read about the process of critical appraisal. Confidence to act was strongly correlated with a stated intention to use the bulletin in situations relating to the purchase of bone density screening for osteoporosis and also with the view that the bulletin would be influential in local discussions. Further research is needed to assess the impact on decision making.
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We study the relationship between underwriter prestige, family control, and IPO underpricing in an international setting. Data are collected for 5,789 firms that went public…
Abstract
We study the relationship between underwriter prestige, family control, and IPO underpricing in an international setting. Data are collected for 5,789 firms that went public across twenty‐five countries between 1995 and 2002. We find that non‐penny‐stock and non‐U.S. IPOs from countries where firms are predominately family‐controlled benefit from associations with well‐known investment bankers; i.e., these firms are less underpriced than similar firms from countries with a low level of family control. At the same time, our findings support prior evidence that suggests that underwriter prestige is positively related to underpricing in the U.S. IPO market. Family‐controlled firms should consider the findings of this study, which identifies factors that are associated with more successful IPO outcomes.
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This study examines the impact of the trading volume on Initial Public Offering (IPO) initial return in the context of an emerging market from January 2006 to December 2016…
Abstract
This study examines the impact of the trading volume on Initial Public Offering (IPO) initial return in the context of an emerging market from January 2006 to December 2016. Models consist of hierarchical and multiple regressions have been evaluated. Our results show, firstly, IPO provides an average of 21.90% of initial return to investors on the first trading day, 9.08% of return on the second day of trading, and 7.12% of return on the third day of return. Secondly, there is a positive relationship between the oversubscription ratio and initial return and no relationship between trading volume and initial return on the first three trading day. Thirdly, the trading volume does not act as a moderator that worsens the relationship between the oversubscription ratio and initial return. Lastly, this study shows that investors should actively participate in the subsequent trading of an IPO. Higher participation will bring greater liquidity and shareholder wealth in the stock market. To the authors' knowledge, this is the first study on the moderating effect of trading volume on IPO initial return in an emerging market.
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The finance literature extensively documents the abnormal positive returns of unseasoned initial public offerings (IPOs) in the early trading. Neuberger and LaChapelle (1983)…
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The finance literature extensively documents the abnormal positive returns of unseasoned initial public offerings (IPOs) in the early trading. Neuberger and LaChapelle (1983), McDonald and Fisher (1972), Neuberger and Hammond (1974), Reilly (1977), Logue (1973), Ibbotson (1975), Ibbotson and Jaffe (1975), Ritter (1984), Miller and Reilly (1987), and Ibbotson, Sindelar and Ritter (1988) are but a few studies providing convincing evidence of initial price volatility in IPOs which, after some period of time, tends to level off. Some IPO studies, particularly Neuberger and LaChapelle (1983), Logue (1973), and Friend (1967), intentionally ignore institutional IPOs. Logue (1973) states that banking issues create a downward pricing bias because the market has already accurately priced the assets of financial institutions. Alli, Yau and Yung (1994) provided evidence that banking IPOs enjoyed significantly less positive abnormal returns in the early trading than a control sample of industrial firms. This study examines the early stock price movements of the 32 non‐US banking equities issued on the New York Stock Exchange (NYSE) from January 1986 through May 2001 and finds that virtually no underpricing exists in the early trading for those issues – a vast deviation from the results of most IPO and ADR event studies, but a strong indication that banking IPOs do create a downward pricing bias when considered in IPO studies with securities from different industries. All new foreign equity issues in this study are traded as American Depository Receipts (ADRs) except the Canadian stocks.
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This paper aims to examine the performance and benchmark asset allocation policy of 70 KiwiSaver funds catergorised as growth, balanced or conservative over the period October…
Abstract
Purpose
This paper aims to examine the performance and benchmark asset allocation policy of 70 KiwiSaver funds catergorised as growth, balanced or conservative over the period October 2007-June 2016. The study focuses on the sources for returns variability across time and returns variation among funds.
Design/methodology/approach
Each fund is benchmarked against a portfolio of eight indices representing eight invested asset classes. Three measures were used to examine the after-fee benchmark-adjusted performance of each fund: excess return, cumulative abnormal return and holding period returns difference. Tracking error and active share were used to capture manager’s benchmark deviation.
Findings
On average, funds underperform their respective benchmarks, with the mean quarterly excess return (after management fees) of −0.15 per cent (growth), −0.63 per cent (balanced) and −0.83 per cent (conservative). Benchmark returns variability, on average, explains 43-78 per cent of fund’s across-time returns variability, and this is primarily driven by fund’s exposures to global capital markets. Differences in benchmark policies, on average, account for 18.8-39.3 per cent of among-fund returns variation, while differences in fees and security selection may explain the rest. About 61 per cent of balanced and 47 per cent of Growth funds’ managers make selection bets against their benchmarks. There is no consistent evidence that more actively managed funds deliver higher after-fee risk-adjusted performance. Superior performance is often due to randomness.
Originality/value
This study makes use of a unique data set gathered directly from KiwiSaver managers and captures the long-term strategic asset allocation target which underlines the investment management process in reality. The study represents the first attempt to examine the impact of benchmark asset allocation policy on KiwiSaver fund’s returns variability across time and returns variation among funds.
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The initial shock of devaluing the currency, after so many promises that it would not take place, has passed; only the uncertainty and apprehension remain. It seems an idle…
Abstract
The initial shock of devaluing the currency, after so many promises that it would not take place, has passed; only the uncertainty and apprehension remain. It seems an idle exercise to compare the present state of the country's economy with other periods in recent history, such as when in the first Labour Government, we went off the gold standard; at that time, shock was indeed profound and again, the French were cock‐a‐hoop, but the position was complicated by the huge inter‐indebtedness of the Allies in the First War. Or the first devaluation after the Second World War, but both periods were also characterized by public waste and profligate spending. Now, we have to obtain foreign loans and financial backing to keep going, and it is this aspect of the present devaluation which will probably far outweigh any positive advantages. The country's massive external debts were increased by approximately one‐seventh overnight, probably wiping out completely all the repayments made at such great effort since the War. Devaluation of the currency cannot be seen as anything but a grievous blow to the country, presaging hard times ahead for everyone. When promises were being made that devaluation would not take place, there can be little doubt that these were honestly made and, at the time, believed in, for no Government of a country with imports always exceeding exports, would impose such a burden on its people willingly. It must then have been forced upon them.
This paper aims to provide empirical evidence on the extent of alteration institutional characteristics, i.e. legal origin and corruption levels, may have on the signaling effects…
Abstract
Purpose
This paper aims to provide empirical evidence on the extent of alteration institutional characteristics, i.e. legal origin and corruption levels, may have on the signaling effects of auditors’ reputation, underwriters’ reputation and ownership retention on initial public offering (IPO) initial returns in OECD countries.
Design/methodology/approach
Cross-sectional data composed of 6,182 IPOs from 30 OECD countries are used for 2003-2012. Ordinary least square with multiple linear regressions is used to test the hypotheses.
Findings
The findings indicate that the legal framework and corruption level of a country alters the signaling effects of underwriters’ reputation, auditors’ reputation and ownership retention in an IPO environment. These three variables mitigate information asymmetry, signal firm value to potential investors and ultimately decrease IPO initial returns. This relationship is more significant in the civil law countries. Corruption levels negatively moderate the relationship in the common law and Scandinavian civil law countries but have no significance in the German and French civil law countries, indicating the importance of the signaling variables in these two civil law countries.
Originality/value
This study examines the extent of the alterations that the legal framework and the corruption levels cause to the signaling relationship between auditors’ reputation, underwriters’ reputation and ownership retention on IPO initial returns in selected OECD countries.
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This chapter examines the performance persistence evidences of pension fund managers who managed the constituent equity funds included in Hong Kong Mandatory Provident Fund (MPF…
Abstract
This chapter examines the performance persistence evidences of pension fund managers who managed the constituent equity funds included in Hong Kong Mandatory Provident Fund (MPF) schemes over the period 2001–2004. Nonparametric two-way contingency table and parametric OLS regression analysis are employed to evaluate performance persistence. The evidence suggests that the raw returns, traditional Jensen alphas, and conditional Jensen alphas in the previous year possess predictive abilities. When the funds are classified into high-volatile and low-volatile samples, the high-volatile funds are found to possess stronger performance persistence. Neither hot-hand nor cold-hand phenomena are found in the equity funds managed by same investment manager.