The Effects of Ambiguous Information on Initial and Subsequent IPO Returns
Identifieur interne : 000419 ( Main/Exploration ); précédent : 000418; suivant : 000420The Effects of Ambiguous Information on Initial and Subsequent IPO Returns
Auteurs : Tom Arnold [États-Unis] ; Raymond P. H. Fishe [États-Unis] ; David North [États-Unis]Source :
- Financial Management [ 0046-3892 ] ; 2010-12.
English descriptors
- Teeft :
- Absolute value, Alpha estimates, Alternative models, Ambiguity, Ambiguity effects, Ambiguity measures, Ambiguity measures ambiguity ratio, Ambiguity measures factiva article count interaction ambiguity ratio, Ambiguity models, Ambiguity ratio, Ambiguity ratios, Ambiguity theory, Ambiguity variables, Ambiguous information, Ambiguous news, Analyst forecasts, Asset pricing, Associate professor, Average words, Bayesian model, Beta, Bubble period, Business description section, Business sections, Certain words, Common stock, Company news, Control variables, Critical values, Crsp, Crsp index, Crsp returns, Daily data, Descriptive statistics, Different interpretations, Discussion sections, Earnings forecasts, Elsevier science technology books, Entire prospectus, Epstein, Excess return regressions, Excess returns, Factiva, Factiva counts, Factiva news counts, Factiva search engine, False discovery rate, Fama, Financial data, Financial development, Financial economics, Financial management, First paragraph, First week, First year, Fishe, Future earnings, Hard information, Higher levels, Ibes, Individual investors, Industry controls, Industry effects, Industry standards, Information content, Information signals, Inherent ambiguity, Initial level, Initial range number, Initial returns, Initial risk, Insider, Insider ownership, Interaction term, Investment banking, Investment decisions, Investor, Investor aversion, Investor sentiment, Investor sentiment confounds, Investors focus, Ipo, Kellogg school, Ljungqvist, Market efficiency, Market model, Market risk, More signals, Multivariate regression, Negative effect, News articles, News signals, News stories, Northwestern university, Null hypothesis, Offer price, Offer proceeds, Offering prospectus, Other sections, Other technologies, Other words, Panel data, Partial adjustment, Pessimistic language, Poor earnings, Portalplayer, Portfolio, Portfolio choices, Portfolio decisions, Portfolio weights, Positive effect, Post measures, Post risk, Post sentiment, Proceeds section, Prospectus, Quiet period, Rational expectations, Registration offer, Regression, Regression model, Relative ambiguity, Relative ambiguity measures, Results support, Risk factor, Risk factor section, Risk factors, Risk factors section, Risk measures, Risk variables, Robins school, Ross school, Schneider, Second channel, Soft information, Standard deviation, Stock market, Stock price, Stock returns, Subsequent asset returns, Subsequent news signals, Subsequent returns, Subsequent signals, Such ambiguity, Such events, Such information, Summary statistics, Tetlock, Total words, Underwriter, Underwriter market share days, Unit root, Upper boundary, Venture capital, Wall street journal, Weekly data, Word counts.
Abstract
Newly public companies must disclose significant risk factors in the offering prospectus. These disclosures are examples of “soft” or ambiguous information. Ambiguity models predict that investors will alter their portfolio weights and react to subsequent signals about such information. We test for these effects in a sample of 1,398 initial public offerings (IPOs) using word count ratios between soft and hard information as measures of ambiguity. We find a significant relationship between the soft information on risk and both initial and ex post measures of returns. These results support the view that soft information embeds ambiguity and that it influences investors’ portfolio choices.
Url:
DOI: 10.1111/j.1755-053X.2010.01120.x
Affiliations:
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These disclosures are examples of “soft” or ambiguous information. Ambiguity models predict that investors will alter their portfolio weights and react to subsequent signals about such information. We test for these effects in a sample of 1,398 initial public offerings (IPOs) using word count ratios between soft and hard information as measures of ambiguity. We find a significant relationship between the soft information on risk and both initial and ex post measures of returns. These results support the view that soft information embeds ambiguity and that it influences investors’ portfolio choices.</div></front></TEI><affiliations><list><country><li>États-Unis</li></country><region><li>Virginie</li></region></list><tree><country name="États-Unis"><region name="Virginie"><name sortKey="Arnold, Tom" sort="Arnold, Tom" uniqKey="Arnold T" first="Tom" last="Arnold">Tom Arnold</name></region><name sortKey="Fishe, Raymond P H" sort="Fishe, Raymond P H" uniqKey="Fishe R" first="Raymond P. 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