Pseudo Market Timing and the Stationarity of the Event-Generating Process

Preprint

1 January 2004

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.537822

Abstract

If the number of firms going public increases with the level of the market, the number of IPOs will tend cluster near market peaks. Under these circumstances, I

Keywords

MARKET EFFICIENCY
ENDOGENOUS EVENT
IPO
LONG-RUN PERFORMANCE

This publication has 3 references indexed in Scilit:

Endogenous Events and Long Run Returns
SSRN Electronic Journal, 2005
Pseudo Market Timing and the Long‐Run Underperformance of IPOs
The Journal of Finance, 2003
Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests
Journal of Business & Economic Statistics, 1994