Date of Award
5-2008
Degree Type
Dissertation
Degree Name
Ph.D.
Degree Program
Financial Economics
Department
Economics and Finance
Major Professor
Wei, Peihwang
Second Advisor
Krishnaswami, Sudha
Third Advisor
Mukherjee, Tarun
Fourth Advisor
Turunen-Red, Arja
Fifth Advisor
Whitney, Gerald
Abstract
I examine the determinants of cross-sectional liquidity in the IPO aftermarket during the period of 1995 through 2005. I find that past price performance, the extent of stock visibility, the mass of informed agents, and certain IPO attributes play a role in explaining IPO trading activity. My empirical evidence shows that differences of opinion and estimation uncertainty about an IPO firm affect little IPO liquidity. My findings contribute to the understanding of determinants of IPO aftermarket trading. I also investigate whether contemporaneous overreaction tends to occur following persistent information in the options market. More specifically, I compare the reactions between growth and value investors, and small and large investors conditional on past price reactions. My empirical results suggest that value investors react more strongly than growth investors following a series of prior information shocks, as measured by the cumulative level of overreaction. Small investors tend to react more strongly than large investors conditional on prior information shock, as measured by the cumulative sign or level of overreaction. The results imply that overreaction is a function of investor types and previous information and contribute to the overreaction hypothesis in the options market.
Recommended Citation
Lee, Yen-Sheng, "Essays on Determinants of IPO Liquidity and Price Adjustments to Persistent Information in Option Markets" (2008). University of New Orleans Theses and Dissertations. 701.
https://scholarworks.uno.edu/td/701
Rights
The University of New Orleans and its agents retain the non-exclusive license to archive and make accessible this dissertation or thesis in whole or in part in all forms of media, now or hereafter known. The author retains all other ownership rights to the copyright of the thesis or dissertation.