Two essays on newly public firms.

摘要

This dissertation examines the stock price behavior of newly public firms following two separate events, acquisition announcements and a large single day price change. For the first essay on overreaction, the changes in both liquidity and information are considered in studying the stock price reaction to a trigger of +/−15%. Over 2,600 events are evaluated for these newly public firms from 1992–2001 with events classified as occurring during either the quiet, lockup or post lockup period.; For positive trigger events during the quiet period, a large one-day price change results in a significant underreaction. Positive triggers during the lockup period result in no significant abnormal returns, while a statistically significant overreaction occurs during the post lockup period. For negative triggers, while there are no significant abnormal returns for the reactions in any period, there is nevertheless a statistically significant difference between the reactions during the quiet and the post lockup periods. In addition, the degree of market reaction is found to be significantly different for events with information versus events without information.; The second essay examines the stock price reaction when newly public firms make acquisition announcements. The belief is that these firms may experience a more positive reaction due to the firms' smaller size, need for immediate expansion, and increased corporate governance. On the other hand, these firms may lack the expertise to successfully integrate the acquisition targets. The results show that these newly public firms experience significant announcement returns of 2.63%. In general, higher announcement returns are found the smaller the acquirer, the smaller the relative size of the acquisition, and if the target is privately held. While the presence of venture capitalists and top tier underwriters result in lower announcement returns, returns are higher if the acquisition advisor is the same as the original underwriter. The buy and hold abnormal returns calculated using a matched sample are not significant. However, acquisitions with economies of scale for the motive have returns of 15% following one year, while those for economies of scope have −15% and the difference is significant.