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5 years ago

* I would like to thank Frank Dobbin, Christopher Marquis, Peter ...

* I would like to thank Frank Dobbin, Christopher Marquis, Peter ...

! ! 8! Table 5:

! ! 8! Table 5: First-Day Return – OLS Regressions (10 year period 2001-2010) FIXED EFFECTS (1) (2) (3) (4) a (5) a, b Priced Above the Range 17.86 *** 17.87 *** 17.17 *** (1.570) (1.569) (1.516) Income -7.506 ** -5.594 ** -5.964 ** -5.801 ** (2.298) (2.133) (2.130) (2.057) Growth 4.561 * 2.489 2.041 1.612 (1.879) (1.748) (1.760) (1.693) Private Equity (PE) Ownership -5.053 -1.521 -1.365 -0.809 -1.531 (2.829) (2.947) (2.726) (2.730) (2.611) PE Tie to Underwriter 2.289 1.960 1.629 1.318 1.495 (2.131) (2.089) (1.933) (1.939) (1.852) PE Fund Size (bn) 0.00339 0.00276 0.00344 0.00267 0.00355 (0.00774) (0.00758) (0.00702) (0.00701) (0.00673) Litigation Risk -13.01 *** -13.88 *** -10.22 *** -10.13 *** -8.037 ** (3.173) (3.111) (2.896) (2.905) (2.875) Shiller Investor Confidence Index 0.230 0.346 0.307 0.258 0.386 (0.227) (0.223) (0.206) (0.291) (0.281) Number of IPOs in Month -0.0738 -0.0888 -0.0805 -0.212 * -0.232 * (0.0995) (0.0975) (0.0902) (0.101) (0.0969) Dividend Premium -0.227 -0.188 -0.198 -0.250 -0.275 (0.179) (0.176) (0.163) (0.235) (0.227) NYSE Monthly Turnover -3.118 -4.210 -2.480 2.419 2.026 (5.236) (5.144) (4.762) (6.875) (6.538) Closed-End Fund Discount 0.0202 0.185 0.180 0.178 0.0848 (0.354) (0.348) (0.322) (0.401) (0.383) Equity Share of Total Issuance -13.72 -15.67 -8.927 -15.40 -12.84 (14.78) (14.50) (13.43) (14.69) (14.14) Management Ownership 2.386 3.367 0.847 0.850 0.272 (2.497) (2.734) (2.539) (2.545) (2.461) Secondary Portion -3.198 -3.734 -2.409 -2.396 -3.560 (2.698) (2.656) (2.460) (2.466) (2.362) Average Underwriter Status 1.980 ** 1.771 ** 1.428 * 1.372 * 1.070 (0.646) (0.643) (0.596) (0.597) (0.581) Dow Jones Industry Sector Index 0.261 ** 0.243 * 0.0884 0.111 0.110 (0.0973) (0.0956) (0.0895) (0.0920) (0.0883) Market Volatility (VIX) 0.636 ** 0.539 * 0.477 * 0.767 ** 0.846 ** (0.221) (0.217) (0.201) (0.292) (0.279) Log S&P500 Index 17.97 22.64 * 17.49 57.56 ** 63.64 *** (10.66) (10.47) (9.697) (17.71) (16.96) S&P500 One-day Return -0.380 -0.246 -0.253 -0.250 -0.216 (0.693) (0.679) (0.628) (0.635) (0.610) S&P500 One-month Return 0.653 ** 0.567 ** 0.537 ** 0.469 * 0.491 ** (0.208) (0.204) (0.189) (0.195) (0.187) Log Offering Size (mm) 1.821 * 3.225 *** 1.133 1.303 1.632 (0.927) (0.962) (0.909) (0.917) (0.901) Log Age (years) -1.651 -0.662 -0.146 -0.101 -0.227 (0.920) (0.916) (0.849) (0.851) (0.825) Debt to Cap (inverse for negative) -0.0468 0.00183 0.0107 0.00925 0.00549 (0.0900) (0.0885) (0.0819) (0.0818) (0.0794) Revenues (standardized) -2.627 ** -2.936 *** -2.068 ** -1.979 ** -1.989 ** (0.821) (0.806) (0.749) (0.753) (0.732) Operating Cashflow (standardized) 0.156 0.0739 0.350 0.196 0.182 (0.700) (0.686) (0.635) (0.637) (0.615) Positive Earnings 3.196 * 3.323 * 2.005 1.774 1.756 (1.517) (1.485) (1.379) (1.382) (1.362) Employment Growth 0.127 0.123 0.0513 0.0486 0.0655 (0.0856) (0.0838) (0.0778) (0.0868) (0.0827) Recession Month 3.588 4.262 3.290 8.812 * 8.158 *

! ! 9! (3.149) (3.085) (2.856) (3.433) (3.291) Industrial Production Growth 0.0273 * 0.0294 * 0.0217 0.0213 0.0226 (0.0137) (0.0134) (0.0124) (0.0131) (0.0126) Real Consumption Growth 0.00987 0.00654 0.00682 0.00380 0.00343 (0.0138) (0.0136) (0.0126) (0.0129) (0.0124) Intercept -164.3 * -213.7 ** -164.9 * -459.6 *** -513.9 *** (83.03) (81.76) (75.77) (135.9) (130.0) RANDOM EFFECTS SIC Log Standard Deviation 1.527 *** Residual Log Standard Deviation 2.729 *** Observations 795 795 795 795 795 R 2 0.121 0.159 0.281 0.295 Adjusted R 2 0.088 0.126 0.252 0.258 Log-likelihood -3420.9 -3403.0 -3340.7 -3332.8 -3323.8 AIC 6899.8 6868.0 6745.4 6747.5 6733.7 BIC 7035.4 7013.0 6895.1 6939.4 6934.8 Note: Unadjusted standard errors in parentheses. Missing data: list-wise deletion applied to 18 cases missing underwriter status, offer price, or first-day close price information (total sample 813). Multiple imputation of missing data does not alter results (implemented in R with Amelia and Zelig). (PE = Private Equity). a Models 4 and 5: Fixed effect models controlling for offering year. Offering years’ fixed effects not shown. b Model 5: Mixed effect model simultaneously clustering issuers by four-digit SIC codes (estimation fit using REML) and controlling for offering year fixed effect with dummy variables. Offering years’ fixed effects not shown. * p < 0.05, ** p < 0.01, *** p < 0.001 (two-tailed tests)

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