Competitive Effect of IPO's in Tehran Security Exchange: An Event Study Analysis

Document Type : Research Paper

Authors

1 Associate Professor, Department of Management, Faculty of Social Sciences and Economics, AlZahra University

2 PhD Student in Financial Engineering, Faculty of Administrative Sciences and Economics, University of Isfahan

3 Master of Financial Management, Faculty of Social Sciences and Economics, Al-Zahra University.

Abstract

IPOs are acknowledged as an important and continuous event in stock markets. A lot of research investigated the reasons why any company go public, how to price a new company and the abnormal return of IPOs in the short and long term. In another aspect, we can consider IPOs as an economic event or even critical news and examine its effects on the existing companies' return. In this paper, we attempted to investigate investors' behavior around an IPO and the competitive effect of IPO's in the Tehran Security Exchange using event study methodology. In so doing, we classified 235 IPO for 14 years based on their size, industry, P/E, and B/M. The results indicate that investors consider the big size and low P/E IPOs as a negative event on the existing portfolio. We also find that the initial filing of an IPO has a negative price impact on existing firms in the same industry.

Keywords

References

خلیلی عراقی، مریم و اسماعیلی، بهمن.(1392). بررسی تأثیر عوامل مؤثر بر بیش واکنشی کوتاه‌مدت در عرضه اولیه سهام (IPO) بورس اوراق بهادار تهران، دانش سرمایه‌گذاری، (11)3،  صص. 64-47.
رضازاده، الهه و فلاح شمس، میرفیض.(1392). اثر تمایلی زیان گریزی سرمایه‌گذاران بر اساس حجم معاملاتIPO در بورس اوراق بهادار تهران، دانش مالی تحلیل اوراق بهادار، 1(17)،صص. 75-86.
مهرانی، ساسان؛ محمدرضا عسگری، آرش تحریری و حمیدرضا گنجی.(2010). بررسی وجود بازده غیرعادی در سهام عرضه‌های عمومی اولیه در بورس اوراق بهادار تهران در شرایط وجود و نبود حباب قیمتی و تعیین عوامل مؤثر بر آن، فصلنامه بورس اوراق بهادار، 2(8)، صص. 115-132.‎
صادقی شریف، سیدجلال و اکبرالسادات، سید محمد.(1391). بررسی تأثیر مدیریت سود بر بازدهی بلندمدت عرضه‌های عمومی اولیه با استفاده از مدل سه عاملی فاما و فرنچ در بورس اوراق بهادار تهران، تحقیقات مالی، 13(32)، صص. 57-72.
فدائی نژاد، محمد اسماعیل و چاوشی، بهنام. (1387). بررسی رابطه سرد و گرم بودن بازار سرمایه با بازدهی کوتاه‌مدت عرضه‌های عمومی اولیه سهام،  فصلنامه بورس اوراق بهادار، (16)1، صص. 133-166.
قالیباف اصل، حسن؛ صادقی دمنه، رحیم و کلانتری دهقی، مهدیه.(1391). رابطه قیمت‌گذاری کمتر از حد و نقدشوندگی سهام بعد از عرضه‌ عمومی اولیه در شرکت‌های پذیرفته شده بورس اوراق بهادار تهران. دانش مالی تحلیل اوراق بهادار، 3(15)، صص. 13-29.
کرمی فخرآبادی، مهران؛ تاتایی، پیمان، سهرابی عراقی، محسن و بولو، قاسم.(1392). مقایسه بازدهی کوتاه و بلندمدت عرضه‌های عمومی اولیه شرکت‌های مشمول واگذاری سیاست‌های اصل 44 قانون اساسی با سایر عرضه‌های عمومی اولیه و بازدهی بازار، مدیریت دارایی و تأمین مالی. (19)2. صص.102-87.
گرکز، منصور؛ وکیلی فرد، حمیدرضا و یمرعلی، اکتای.(1390). شناسایی عوامل مؤثر بر بازده غیرعادی در عرضه‌های عمومی اولیه سهام شرکت‌های جدیدالورود در بورس اوراق بهادار تهران،  دانش مالی تحلیل اوراق بهادار،  4(12)، صص. 53-69.
نادری، شیرزاد، اسپوکه، جلال.(1395). شناسایی عوامل مؤثر بر عرضه زیر قیمت سهام شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران،  دانش مالی تحلیل اوراق بهادار، 9(31)، صص. 97-109
Akhigbe, A. Borde, S. F. & Whyte, A. M. (2003). Does an industry effect exist for initial public offerings? Financial Review. (4)38, pp.531-551
Baker, M. & Wurgler, J. (2000). The equity shares in new issues and aggregate stock returns. The Journal of Finance, (5)55, pp.2219-2257.    
Black, B. S. & Gilson, R. J. (1998). Venture capital and the structure of capital markets: banks versus stock markets1. Journal of financial economics. (3)47, pp.243-277.
Bollerslev. T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics. (3)31, pp. 307-327.
Braun, M. & Larrain, B. (2008). Do IPOs affect the prices of other stocks? Evidence from emerging markets. The Review of Financial Studies, (4)22, pp.154-1505.
Campbell, J. Y. Lo, A. W. & MacKinlay, A. C. (1997). The econometrics of financial markets (Vol. 2, pp.180-149). Princeton, NJ: Princeton University press.
Chan, S. H. Chen, J. and Wang, K. (2019), Does A Firm's Entry or Exit Affect Competitors’ Value? Evidence from the REIT Industry. Real Estate Economics, 47. pp.214-262.
Cochrane, J. F. Longstaff, and P. Santa-Clara. 2007. Two Trees: Asset Price Dynamics Induced by Market Clearing. Review of Financial Studies. forthcoming.
Cox, J. C. Ingersoll Jr, J. E. & Ross, S. A. (1985). An intertemporal general equilibrium model of asset prices. Econometrica: Journal of the Econometric Society, pp.363-384.
Fadai Nezhad, ME. Chavoshi, B. (2007). Investigate the relationship between the cold and warm capital market and the short-term returns of IPO. Journal of Stock Exchange, No.1. pp.133-166. (in Persian)
Gargaz, M. Vakili Fard, H.R. Oktay, Y. (2011). Identification of factors affecting the abnormal returns in the IPO of shares in new stock companies in Tehran Stock Exchange. Journal of Financial knowledge of securities analysis, (12)4. pp.53-69. (in Persian)
Ghalibaf asl, H. Sadeghi Damne, R. Kalantari Dehghi, M. (2012). The relationship between lower pricing and liquidity of stocks after the initial public offering in companies admitted to Tehran Stock Exchange. Journal of Financial knowledge of securities analysis. (15)3. pp.13-29. (in Persian)
Hsu, H. C. Reed, A. V. & Rocholl, J. (2011). The new game in town: Competitive effects of IPOs. The Journal of Finance, (2)65, pp.495-528.
Karami Fakhr Abadi, M. Tatai, P. Sohrbi Araghi, M. and Bolu, Gh.(2013) Comparison of the short and long term yields of the IPO of companies subject to the constitutionality of Article 44 of the Constitution with other basic public offerings and market returns. Journal of Asset management and financing, 1(2). pp.87-102 (in Persian)
Khalili araghi, M. Esmaili, B. (2013). Investigating the effect of factors affecting more short-term response in IPO Tehran stock exchange. Journal of Investment knowledge, (11)3, pp.64-47.(in Persian)
Kolari, J. W. & Pynnonen, S. (2011). Nonparametric rank tests for event studies. Journal of Empirical Finance, (5)18, pp.971-953
Kolari. J. W. and S. Pynnonen (2011). Nonparametric rank tests for event studies. Journal of Empirical Finance, (5)18, pp.971-953.
Kothari. S. and J. Warner (2007). Econometrics of event studies. Handbook of empirical corporate finance. 36-3 :1.
Li, l. Sun, Q. and Tian, S. (2018), the impact of IPO approval on the price of existing stocks: Evidence from China. Journal of corporate finance, 50, pp.109-127.
Lucas Jr, R. E. (1978). Asset prices in an exchange economy. Econometrica: Journal of the Econometric Society, pp.1429-1445.
Maksimovic, V. & Pichler, P. (2001). Technological innovation and initial public offerings. The Review of Financial Studies, (2)14, pp.459-494.
Mehrani, S. Asgari, MR. Tahriri, A. (2010). Investigation of abnormal returns on the stock market in the Tehran Stock Exchange in the presence and absence of price bubbles and determining the factors affecting it. Journal of Stock Exchange, (8)2. pp.115-132. (in Persian)
Naderi, Sh. Espoke, J. (2016). Identification of effective factors on the supply of stock prices of listed companies in Tehran Stock Exchange. Journal of Financial knowledge of securities analysis, (31)9. pp.97-109. (in Persian)
Nelson. D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, Journal of the Econometric Society, pp.347-370.
Pagano, M. Panetta, F. & Zingales, L. (1998). Why do companies go public? An empirical analysis. The Journal of Finance, (1)53, pp.64-27.
Patell, J. M. (1976). Corporate forecasts of earnings per share and stock price behavior: Empirical test. Journal of accounting research, pp.246-276.
Reza Zadeh, E. Falah Shams, M. (2013). The Likely risk of investors' losses based on the volume of IPO transactions in the Tehran stock exchange. Journal of Financial knowledge of securities analysis, (17)1, pp.86-75. (in Persian)
Ritter, J. R. & Welch, I. (2002). A review of IPO activity, pricing, and allocations. The journal of Finance, (4)57, pp.1828-1795.
Sadeghi Sharif, SJ. Akbar Sadat, SM. (2012). The effect of earnings management on long-term output of IPO using fama & franch's model in Tehran stock exchange. Journal of Financial research. (32)13, pp.72-57. (in Persian)
Scholes, M. & Williams, J. (1977). Estimating betas from nonsynchronous data. Journal of financial economics, (3)5, pp.327-309.
Scholes. M. and J. Williams (1977). Estimating betas from nonsynchronous data. Journal of financial economics. (3)5, pp.327-309.
Schultz, P. & Zaman, M. (2001). Do the individuals closest to internet firms believe they are overvalued? Journal of Financial Economics, (3)59, pp.381-347.
Shi, S. Sun, Q. & Zhang, X. (2018). Do IPOs affect market price? Evidence from China. Journal of Financial and Quantitative Analysis, 53(3), pp.1391-1416.
Strong. N. (1992). Modelling abnormal returns: a review article. Journal of Business Finance & Accounting. (4)19:553-533.
Zingales, L. (1995). Insider ownership and the decision to go public. The review of economic studies, (3)62, pp.448-425.

Files

History

  • Receive Date: 12 May 2019
  • Revise Date: 11 May 2020
  • Accept Date: 06 June 2020

Share

How to cite

Statistics