재무연구 제 권 호 (2016년 5월)
Asian Review of Financial Research, Vol., No..
pp.1490~1520
pp.1490~1520
The Effects of IPO Herding on the Initial Returns and Subsequent IPO Timing
Sunghwan Kim School of Business Administration, Kyungpook National University
This study addresses two puzzles in the IPO markets in Korea: whether underpricing in the IPO market is affected by earlier market information, especially the volume and number of IPOs in the prior period, and whether underpricing in the previous period leads to a subsequent hot period in the IPO markets in Korea. Multivariate regressions are conducted using all the IPOs of firms listed on the KOSDAQ and KOSPI exchanges from 2005 to 2016. We also introduce some unique methodologies and models. Most importantly, we apply herding models developed for this study. Our findings can be summarized as follows: First, while that the herding behaviors of IPO firms in the past have a positive effect on the magnitude of IPO returns in the future, the IPO volume itself has a negative effect on the magnitude of IPO returns in the future, consistent with the expectations based on the theoretical viewpoint of the herding theory. Second, the magnitude of weighted herding in IPO markets in the past has a positive effect on the magnitude of IPO returns, while simultaneously reflecting the effects of both time-span and magnitude in returns and volume for most of the information used in Lowry and Schwert (2002)
Sunghwan Kim
This study addresses two puzzles in the IPO markets in Korea: whether underpricing in the IPO market is affected by earlier market information, especially the volume and number of IPOs in the prior period, and whether underpricing in the previous period leads to a subsequent hot period in the IPO markets in Korea. Multivariate regressions are conducted using all the IPOs of firms listed on the KOSDAQ and KOSPI exchanges from 2005 to 2016. We also introduce some unique methodologies and models. Most importantly, we apply herding models developed for this study. Our findings can be summarized as follows: First, while that the herding behaviors of IPO firms in the past have a positive effect on the magnitude of IPO returns in the future, the IPO volume itself has a negative effect on the magnitude of IPO returns in the future, consistent with the expectations based on the theoretical viewpoint of the herding theory. Second, the magnitude of weighted herding in IPO markets in the past has a positive effect on the magnitude of IPO returns, while simultaneously reflecting the effects of both time-span and magnitude in returns and volume for most of the information used in Lowry and Schwert (2002)
