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1 Keiji ABE This article investigates the first-day return and underwriter s ability on initial public offerings (IPOs). First, we find that, on average, offer prices of 405 IPOs listed on JASDAQ market during are underpricing, and verify these anomalies are consistent with the winner s curse and information revelation hypothesis. Secondly, we also investigate underwriter s abilities to expect offer range in the preliminary prospectus and to set offer prices after book-building period. Regression tests and the fact that final offer prices are limited to preliminary upper bound lead to conclusion that the underwriter could not fully incorporate the information of issuers into the pricing. Initial Public Offerings IPO initial return

2 IPO IPO IPO IPO JASDAQ IPO JASDAQ JASDAQ

4 JASDAQ IPO JASDAQ IPO JASDAQ IPO IPO IPO IPO JASDAQ IPO N.A N.A. not available

5 Winner s Curse Rock 1986 IPO IPO IPO IPO IPO Beatty and Ritter 1986 Information revelation Benveniste and Spindt 1989 IPO IPO Hanley 1993 Carter and Manaster, 1990 Megginson and Weiss 1991IPO Packer JASDAQ IR P O P F _ F O = ^P -P O h ' P i

6 P H P L Range _ H L L = ^P -P h ' P i DP P E P O _ O E E = ^P -P h ' P i H L _ = ^P + P h ' 2i IPO IPO NEEDS CD ROM ASSET AGE OSR DP N.A. N.A. CARVE RANK VENT MKT BB JASDAQ Index N.A. MKT PH JASDAQ Index MKT BPO JASDAQ Index N.A. N.A. MOMENT IPO IPO IPO SALES ROA Growth ITD IT N.A. not available

7 DP IPO ASSET AGE IPO OSR OSR IPO IPOCARVE VENT CARVE IPO VENT IPO RANK Carter and Manaster 1990 tombstone announcements IPO MKT JASDAQ INDEX MKT PH MKT BB MKT BPO 11 MKT PH IPO IPO IPO IPO IPO MOMENT IPO IPO IPO IPO IPO SALES ROA Growth

8 ,321 17,729 14,028 9,776 9,931 8,460 12,842 14,606 19,264 16,170 11,586 14,326 9,976 14,843 16,455 21,722 17,970 13,159 16,685 11,993 16, ,741 12,267 8,694 6,372 8,589 6,376 8,991 10,597 13,163 10,594 7,584 10,305 7,335 10,244 14,666 16,278 12,914 8,995 11,245 8,468 12, ROA JASDAQ JASDAQ Index IPO IPO ITD IT 2030 ROA

9 IPO IR IR OLS IR = b + b ASSET + b AGE + b OSR + b DP + b CARVE + b RANK i 0 1 i 2 i 3 i 4 i 5 i 6 i BB PH BPO + b VENT + b MKT + b MKT + b MKT + b MOMENT 7 i 8 i 9 i 10 i 11 + b SALES + b ROA + b Growth + b ITD IPO i 12 i 13 i 14 i 15 i g b Range _ H L L = ^P -P h ' P i DP Range = c + c ASSET + c AGE + c OSR + c CARVE + c RANK i 0 1 i 2 i 3 i 4 i 5 i PH + c VENT + c MKT + c MOMENT 6 i 7 i 8 IPO i + c SALES + c ROA + c Growth + c ITD g 9 i 10 i 11 i 12 i DP = i + i ASSET + i AGE + i OSR + i CARVE + i RANK i 0 1 i 2 i 3 i 4 i 5 i BB PH + i VENT + i MKT + i MKT + i MOMENT 6 i 7 i 8 i 9 + i SALES + i ROA + i Growth + i ITD g IPO i 10 i 11 i 12 i 13 i c i 2 3 MKT BB MOMENT IPO TSP Ver4.5 IR IPO ASSET AGEIPO OSR JASDAQ

10 P-value b ASSET AGE OSR DP CARVE RANK VENT MKT BB MKT PH MKT BPO MOMENT IPO SALES ROA Growth ITD Adjusted R heteroskedastic-consistent standard errors 405 Winner s Curse DP DP 2003 DP IPO CARVE RANK VENT Packer 1995Packer 1995 IPO MKT BPO MKT PH MKT BB

11 IPO MOMENT IPO SALES ROA Growth IT ITD IT Range 2 RANK IPO MOMENT IPO IT ITD IPO IT P-value c ASSET AGE OSR CARVE RANK VENT MKT PH MOMENT IPO SALES ROA Growth ITD Adjusted R heteroskedastic-consistent standard errors 405

12 DP MKT BB MKT PH IPO RANK IPO MOMENT IPO IPO IPO DP P-value i ASSET AGE OSR CARVE RANK VENT MKT BB MKT PH MOMENT IPO SALES ROA Growth ITD Adjusted R heteroskedastic-consistent standard errors 405

13 IPO (100.0) (49.48) (82.47) (72.06) (82.26) (98.59) 0.00 IPO , , Ritter and Welch 2002 JASDAQ JASDAQ 1997

14 IPO 1998 IR IPO JASDAQ IPO 405 IR Winner s Curse Range DP IPO MOMENT IPO IPO DP

15 E O 2001 ^= P ' P -1h DP [ ] Beatty, R. P. and J. R. Ritter, 1986, Investment banking, reputation, and the underpricing of initial public offerings, Journal of Financial Economics, vol.15, pp [ ] Benveniste, L. M. and P. A. Spindt, 1989, How investment bankers determine the offer price and allocation of new issues, Journal of Financial Economics, vol.24, pp [ ] Carter, R. and S. Manaster, 1990, Initial public offerings and underwriter reputation, Journal of Finance, vol.45, pp [ ] Hachiya, T. and Xi Zheng, 2004, The effect of information asymmetry, ownership change, and regulation change: An empirical study of initial returns of the IPOs in JASDAQ market,, vol.23, pp [ ] Hanley, K. W., 1993, The underpricing of initial public offering and the partial adjustment phenomenon, Journal of Financial Economics, vol.34, pp [ ] Hebner, K. J. and T.Hiraki, 1993, Japanese initial public offerings, Restructuring japans financial markets, edited Walter, I. And T.Hiraki, Business one Irwin Publishers, pp [ ] Lowry, M. and G. W. Schwert, 2004, Is the IPO pricing process efficient?, Journal of Financial Economics, vol.71, pp [ ] Megginson, W. L. and K. A. Weiss, 1991, Venture capitalist certification in initial public offerings, Journal of Finance, vol.46, pp [ ] Packer,F., 1995,,, vol.33, pp [10] Ritter,J.R. and I.Welch, 2002, A review of IPO activity, pricing, and allocations, Journal of Finance, vol.57, pp [11] Rock, K., 1986, Why new issues are underpriced, Journal of Financial Economics., vol.15, pp [12] 2001 vol.44 pp [13] 2005 pp [14] 1995 vol.33 pp [15] 1998 pp [16] 1998vol.6 pp [17] 2004 vol.5 pp [18] 2005 IPO 29 [19] 1995 vol.33 pp [20] 2003 vol.14 pp

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