Information Risk and Long-Run Performance of Initial Public Offerings

1. Front Matter

   Pages i-xvii

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2. Introduction and Motivation

   Pages 1-6

3. Valuation under Information Risk

   Pages 7-13

4. Derivation of a Returns-Based Measure of Information Quality

   Pages 15-24

5. Abnormal Returns Measurement and Hypotheses Development

   Pages 25-50

6. Tests with Abnormal Portfolio Returns

   Pages 51-84

7. Robustness Tests

   Pages 85-96

8. Concluding Remarks

   Pages 97-98

9. Back Matter

   Pages 99-132

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Exactly forty years after Eugene Fama’s (1965) article “The Behavior of Stock Market Prices” (Journal of Business), the play ”E?cient Capital Markets” is still going strong. With his thesis, Frank Ecker is adding a new act to the play: His work is a combination of several new developments on the analytical and empirical capital market research front. Capital market e?ciency is based on two aspects. First, the ability of investors to identify a situation in which asset prices are out of the capital market equilibrium. Second, on the possibility of the market to make arbitrage pro?ts by driving the prices back to the equilibrium value. Both aspects are conditional on the set of ”relevant” information. As a result, the basic question is: What is relevant information and how is it processed by investors? This work is building on the concept of information quality, information uncertainty or information risk. Fama’s e?cient market hypothesis is just a special case based on the assumption that new information is absolutely correct and completely credible to all investors. In contrast, this work makes use of the more general assumption that new information can be characterized by very di?erent degrees of credibility, or qu- ity. The setting of initial public o?erings is chosen as one of the few capital market transactions arguably characterized by high information asymmetry between the ?rm’s insiders (management) and outsiders (investors).

• Abnormal returns measurement
• Empirical research
• IPOs
• Information risk
• Performance
• Public Relations
• investment
• strategy

Dr. Frank Ecker promovierte bei Prof. Dr. Hellmuth Milde am Lehrstuhl für Geld, Kredit und Finanzierung der Universität Trier. Er ist Assistant Professor of Accounting an der Duke University, Fuqua School of Business, Durham, USA.

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