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The dynamic impact of macroeconomic factors on initial public offerings: evidence from time-series analysis

Tran, A. and Jeon, B. (2011). The dynamic impact of macroeconomic factors on initial public offerings: evidence from time-series analysis. Applied Economics, 43(23), pp. 3187-3201. doi: 10.1080/00036840903493267

Abstract

This article examines the explanatory power and the dynamic impact of macroeconomic conditions on Initial Public Offering (IPO) activities in US during the period from 1970 to 2005. Applying time-series econometric techniques, we find the existence of long-run equilibrium relationships between IPO activities and selected macroeconomic variables. Stock market performance and volatility are shown to play the most important role in the timing of IPOs. The Fed funds rate and the 10 year US Treasury Bond (TB) yield play a comparable role in determining the amount of proceeds raised in the IPOs. There also exist different short-run dynamic adjustment mechanisms between IPOs and macroeconomic factors towards the long run equilibrium path and they are mostly completed within the period of 6 months to 1 year. The results have some useful implications for forecasting IPO activities.

Publication Type: Article
Additional Information: This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics in September 2011, available online: http://wwww.tandfonline.com/10.1080/00036840903493267
Publisher Keywords: Initial public offerings (IPO); Cointegration; VAR; VEC
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Finance
URI: http://openaccess.city.ac.uk/id/eprint/12131
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