Seemingly anomalous patterns and market efficiency: The IPO long-run underperformance and the foreign exchange market short-run momentum anomalies revisited.

摘要

This dissertation examines the initial public offering (IPO) market and the foreign exchange market, two markets that have in the past sparked controversy because of their apparent anomalies. In the case of IPOs, it is the tendency these firms have had to earn a substantial return on the first trading day---initial underpricing---as well as theft tendency to underperform similar publicly traded firms in the long run---IPO long-run puzzle---that have been the sources of most debates. In the foreign exchange market, it is instead the popularity of strategies exploiting different patterns in rates and the apparent ability these strategies have to generate significant risk-adjusted abnormal returns that have been of interest to researchers.; The goal of the present dissertation is to understand and find better ways to exploit these seemingly anomalous patterns by proposing and including in my analyses variables that have not been considered in previous studies. The dissertation has two chapters.; In chapter 1, I revisit the IPO long-run puzzle and expand the information set to include the quarterly earnings trajectories of the firms in the first post-IPO year. Specifically, I investigate how investors react to or interpret these trajectories and how useful they are at predicting future abnormal returns. The analyses reveal that investors pay too little attention to those trajectories. Firms posting sequences of positive and increasing quarterly earnings in their first year, those heading in the right direction early on, perform much better afterwards in the long run than those heading the other way around.; In chapter 2, I investigate the ability of information from the options market to supplement the commonly used information on past prices to predict temporal patterns in foreign exchange returns. Specifically, I investigate whether the differential in open interest between call and put options can help to predict large exchange rate movements. The analyses reveal that the investment strategies based on this new variable are more profitable and more consistent than those based solely on historical rates, the strategies considered in previous studies.; Keywords: market efficiency, initial public offering, long-run returns, IPO underperformance, foreign exchange market, momentum, investment strategies, technical analysis, event-study, moving average, behavioral finance, underreaction, anomalies.