On modeling IPO failure risk

Gonul Colak, Mengchuan Fu, Iftekhar Hasan*

*Motsvarande författare för detta arbete

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

5 Citeringar (Scopus)

Sammanfattning

This paper offers a novel framework, combining firm operational risk, IPO pricing risk, and market risk, to model IPO failure risk. Analyzing nearly a thousand variables we observe that prior IPO failure risk models have suffered from a major missing-variable problem. Evidence reveals several key new firm-level determinants, e.g., the volatility operating performance, the size of its accounts payable, pretax income to common equity, total short-term debt, and a few macroeconomic variables such as treasury bill rate, and book-to-market of the DJIA index. These findings have major economic implications. The total value loss from not predicting the imminent failure of an IPO is significantly lower with this proposed model compared to other established models. The IPO investors could have saved around $18billion over the period between 1994 and 2016 by using this model.
OriginalspråkEngelska
Artikelnummer105790
Referentgranskad vetenskaplig tidskriftEconomic Modelling
Volym109
Antal sidor19
ISSN0264-9993
DOI
StatusPublicerad - 04.02.2022
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 511 Nationalekonomi

Styrkeområden och områden med hög potential (AoS och AoHP)

  • AoS: Finansiering, redovisning och företagsstyrning

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