| Project/Area Number |
23530395
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Kwansei Gakuin University |
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Principal Investigator |
OKAMURA Hideo 関西学院大学, 商学部, 教授 (70319606)
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| Co-Investigator(Renkei-kenkyūsha) |
MORIYASU Hiroshi 長崎大学, 経済学部, 教授 (10304924)
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| Project Period (FY) |
2011 – 2013
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| Project Status |
Completed (Fiscal Year 2013)
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| Budget Amount *help |
¥5,200,000 (Direct Cost: ¥4,000,000、Indirect Cost: ¥1,200,000)
Fiscal Year 2013: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2012: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2011: ¥3,120,000 (Direct Cost: ¥2,400,000、Indirect Cost: ¥720,000)
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| Keywords | IPO / 新規公開 / 株式公開 / アノマリー / 季節性 / ティックデータ / 初期収益率 / 長期パフォーマンス / 新規株式公開 / 新規上場 / 価格形成 |
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| Research Abstract |
Mean stock returns are significantly positive for months during the first half of the calendar year and significantly negative for months during the second half in the Japanese stock market. This seasonal pattern affects the pricing in the Japanese IPO markets. In the short-run, initial returns during the first half of the year are significantly higher than those of the second half. We also find that investors are more aggressive in the first half of the year in the IPO markets. On the other hand, companies that go public in the first half of the year show poorer long-run performances, due to the higher prices around IPO period.
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