IPO Market Cycles: Bubbles or Sequential Learning?

Both IPO volume and average initial returns are highly autocorrelated. Further, more companies tend to go public following periods of high initial returns. However, we find that the level of average initial returns at the time of filing contains no information about that company's eventual underpricing. Both the cycles in initial returns and the lead-lag relation between initial returns and IPO volume are predominantly driven by information learned during the registration period. More positive information results in higher initial returns and more companies filing IPOs soon thereafter.     

Hostility in Takeovers: In the Eyes of the Beholder?

This paper examines whether hostile takeovers can be distinguished from friendly takeovers, empirically, based on accounting and stock performance data. Much has been made of this distinction in both the popular and the academic literature, where gains from hostile takeovers result from replacing incumbent managers and gains from friendly takeovers result from strategic synergies. Alternatively, hostility could reflect strategic choices made by the bidder or the target. Empirical tests show that most deals described as hostile in the press are not distinguishable from friendly deals in economic terms, except that hostile transactions involve publicity as part of the bargaining process.     

Stock volatility and the crash of '87

This article analyzes the behavior of stock return volatilityusing daily data from 1885 through 1988. The October 1987 stockmarket crash was unusual in many ways. October 19 was the largestpercentage change in market value in over 29,000 days. Stockvolatility jumped dramatically during and after the crash. Nevertheless,it returned to lower, more normal levels more quickly than pastexperience predicted. I use data on implied volatilities fromcall option prices and estimates of volatility from futurescontracts on stock indexes to confirm this result.