On modeling IPO failure risk
نویسندگان
چکیده
This paper offers a novel framework, combining firm operational risk, IPO pricing and market to model failure risk. By analyzing nearly thousand variables, we observe that prior risk models have suffered from major missing-variable problem. Evidence reveals several key new firm-level determinants, e.g., the volatility operating performance, size of its accounts payable, pretax income common equity, total short-term debt, few macroeconomic variables such as treasury bill rate, book-to-market DJIA index. These findings economic implications. The value loss not predicting imminent an is significantly lower with this proposed compared other established models. investors could saved around $18billion over period between 1994 2016 by using model.
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ژورنال
عنوان ژورنال: Economic Modelling
سال: 2022
ISSN: ['0264-9993', '1873-6122']
DOI: https://doi.org/10.1016/j.econmod.2022.105790