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Volume :23 Issue : 1 2016      Add To Cart                                                                    Download

Can Firm-Specific Variables Predict Unique Risk in the IPO Market?

Auther : Esam-Aldin M. ALgebaly

This paper examines the relationship between pre-IPO firm variables and after-market residual risk of the market-model in Egyptian IPOs issued over the 1994-2009 period. It emphasizes the use of conditional (GARCH (1,1)) variance as the suitable measure of unique risk over one, three, and five years after listing. The paper finds that firm size, institutional ownership, insider ownership, and assets growth rate variables are the main determinants of IPO shares' unique risk.

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