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Analysis of Factors Affecting IPO Initial Returns of the Tehran Stock Exchange

Kanani Torshizi, Mostafa | 2019

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 52511 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Talebian, Masoud; Ebrahimnejad, Ali
  7. Abstract:
  8. In the present study, the factors that affect the IPO underpricing in the Tehran Stock Exchange are investigated. We define the variables of IPO percentage, age and size of companies, dummy variable for rounded IPO prices, market return in a month before the initial public offering, average return of IPOs that had been done during one month before the IPO of each ticker and the dummy variable for industrial group in which the company is located. We had to calculate the initial return of 246 companies that were offered in the years 1380 to 1395. In this study, due to the existence of a daily stock price volatility constraint, a new algorithm was introduced to calculate the dependent variable of the IPO initial return, which could be more accurate than the previous approach, which would have considered fixed period of time for all the shares that were offered to the market for the first time. In general, the dependent variable calculated from the base date algorithm is more fully explained by the independent variables of the problem compared to the second one. In all regressions, the company size variable has a significant reverse effect on IPO underpricing, and contrary to the predictions and ex-post studies, the IPO percentage variable of companies is directly related to the pricing below their intrinsic value at the time of their initial public offerings. It has been shown that the effect of the Negotiation Hypothesis, which examines the relationship between the rounded or unrounded IPO price and the abnormal initial return of IPOs, is also existed in the Tehran Stock Exchange
  9. Keywords:
  10. Initial Public Offering ; Underpricing ; Base Date Algorithm ; Negotiation Hypothesis ; Initial Abnormal Return ; Tehran Stock Exchange

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