Prospectus disclosure and the stock market performance of initial public offerings (IPOs): the case of Thailand

Mohamed Sherif, Kulabutr Komenkul, Bing Xu

Research output: Contribution to journalArticle

Abstract

The authors investigate the impact of structural monetary policy shocks on ex-post equity risk premium (ERP) of aggregate and sectoral FTSE indices and 25 Fama-French style value-weighted portfolios. They find that monetary policy shocks negatively affect the ERP but at the sectoral level, the magnitude of the response is heterogeneous. Further, monetary policy shocks have a significant negative (positive) impact on the ERP before (after) the implementation of quantitative easing (QE). The empirical evidence provided in the paper sheds light on the equity market’s asymmetric response to the BoE’s policy before and after the monetary stimulus.
LanguageEnglish
Pages146-159
Number of pages14
JournalInvestment Management and Financial Innovations
Volume13
Issue number4
Early online date29 Dec 2016
DOIs
StateE-pub ahead of print - 29 Dec 2016

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Disclosure
Stock market performance
Initial public offerings
Equity risk premium
Thailand
Monetary policy shocks
Quantitative easing
Empirical evidence
Equity markets
Asymmetric response

Cite this

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title = "Prospectus disclosure and the stock market performance of initial public offerings (IPOs): the case of Thailand",
abstract = "The authors investigate the impact of structural monetary policy shocks on ex-post equity risk premium (ERP) of aggregate and sectoral FTSE indices and 25 Fama-French style value-weighted portfolios. They find that monetary policy shocks negatively affect the ERP but at the sectoral level, the magnitude of the response is heterogeneous. Further, monetary policy shocks have a significant negative (positive) impact on the ERP before (after) the implementation of quantitative easing (QE). The empirical evidence provided in the paper sheds light on the equity market’s asymmetric response to the BoE’s policy before and after the monetary stimulus.",
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AB - The authors investigate the impact of structural monetary policy shocks on ex-post equity risk premium (ERP) of aggregate and sectoral FTSE indices and 25 Fama-French style value-weighted portfolios. They find that monetary policy shocks negatively affect the ERP but at the sectoral level, the magnitude of the response is heterogeneous. Further, monetary policy shocks have a significant negative (positive) impact on the ERP before (after) the implementation of quantitative easing (QE). The empirical evidence provided in the paper sheds light on the equity market’s asymmetric response to the BoE’s policy before and after the monetary stimulus.

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