Is ipo underperformance a peso problem?
By: Andrew Ang, Li Gu, Yael V. Hochberg
Contributors: Hochberg, Yael V.; National Bureau of Economic Research
Series: NBER working paper series -- working paper 12203; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 12203.
Publisher: National Bureau of Economic Research
Published: 2006
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "Recent studies suggest that the underperformance of IPOs in the post-1970 sample may be a small sample effect or "Peso" problem.  That is, IPO underperformance may result from observing too few star performers ex-post than were expected ex-ante.  We develop a model of IPO performance that captures this intuition by allowing returns to be drawn from mixtures of outstanding, benchmark, or poor performing states.  We estimate the model under the null of no ex-ante average IPO underperformance and construct small sample distributions of various statistics measuring IPO relative performance.  We find that small sample biases are extremely unlikely to account for the magnitude of the post-1970 IPO underperformance observed in data" National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 5/24/2006.

Includes bibliographical references.

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