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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/51701


    Title: The Diversification Effects of Initial Public Offerings
    Authors: Chen,HC;Ho,KY;Hsiao,YJ;Wu,CH
    Contributors: 財務金融學系
    Date: 2010
    Issue Date: 2012-03-27 19:03:11 (UTC+8)
    Publisher: 國立中央大學
    Abstract: A firm's stock becomes publicly tradable through an initial public offering (IPO). This study suggests a portfolio diversification perspective to explore IPOs. We examine whether investors can gain diversification benefits by adding an IPO portfolio to a set of benchmark portfolios sorted by firm size and book-to-market ratio. Using US IPOs from 1980-2002, we find that adding a value-weighted IPO portfolio does lead to a statistically and economically significant enlargement of the investment opportunity set for investors relative to investing solely in a set of benchmark portfolios. Specifically, the Sharpe ratio of the tangency portfolio increases by 5.50% on average after including IPO stocks. Furthermore, IPOs associated with prestigious lead underwriters are the main source of this augmentation of the mean-variance investment opportunity set. Finally, our study implies that issuing IPO exchange traded funds or similar products can provide diversification gains to investors.
    Relation: JOURNAL OF BUSINESS FINANCE & ACCOUNTING
    Appears in Collections:[財務金融學系] 期刊論文

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