Large number of Initial Public Offerings (IPOs) reliably predicts subsequent low equally weighted aggregate stock returns and the return differential between small and big firms, both in-sample and out-of-sample. The forecasting patterns are consistent with a behavioral story featuring investor sentiment and limits to arbitrage.Initial Public Offerings

Gueorgui I. Kolev

English

Research Papers in Economics

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Forecasting aggregate stock returns using the number of initial public offerings as a predictor

http://www.accessecon.com/pubs/EB/2008/Volume7/EB-08G10009A.pdf

Forecasting aggregate stock returns using the number of initial public offerings as a predictor

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Research Papers in Economics