"Winner’s Curse on Malaysian IPOs" by Norliza Che Yahya, Rasidah Mohd Rashida et al.
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Abstract

This study examines the winner’s curse phenomenon through Amihud and Yong’s winner’s curse measurements. Amihud’s allocation rate (ALLOCTJ) is the natural log of the reciprocal of investor demand or oversubscription ratio while Yong’s institutional investor participation is gauged based on a type of IPOs which is issued via private placement (DPRIVATE). Using data set from 560 initial public offerings (IPOs) issued from January 2000 until December 2022 for listing on Bursa Malaysia, the results of the cross-sectional multiple regression analyses show that ALLOCTJ and DPRIVATE are consistently significantly negative in influencing initial returns of the IPOs. The former relationship indicates that uninformed investors are more likely to win IPOs which are not demanded by the informed investors, and subsequently the IPOs produce low or negative initial returns. In the meantime, the latter relationship suggests that IPOs that are not offered to institutional investors are deliberately underpriced to allure all skeptical investors back into the new shares market.

Bahasa Abstract

Kajian ini mengkaji fenomena sumpahan pemenang melalui ukuran sumpahan pemenang Amihud dan Yong. Kadar peruntukan Amihud (ALLOCTJ) ialah log semula jadi bagi timbal balik permintaan pelabur atau nisbah terlebih langganan manakala penyertaan pelabur institusi Yong diukur berdasarkan jenis IPO yang diterbitkan melalui penempatan persendirian (DPRIVATE). Menggunakan set data daripada 560 tawaran awam permulaan (IPO) yang dikeluarkan dari Januari 2000 hingga Disember 2022 untuk penyenaraian di Bursa Malaysia, keputusan analisis regresi berganda keratan rentas menunjukkan bahawa ALLOCTJ dan DPRIVATE secara konsisten secara signifikan negatif dalam mempengaruhi pulangan awal IPO. Hubungan terdahulu menunjukkan bahawa pelabur yang tidak dimaklumkan lebih berkemungkinan untuk memenangi IPO yang tidak dituntut oleh pelabur bermaklumat, dan seterusnya IPO tersebut menghasilkan pulangan awal yang rendah atau negatif. Dalam pada itu, perhubungan kedua menunjukkan bahawa IPO yang tidak ditawarkan kepada pelabur institusi sengaja dikurangkan harganya untuk memikat semua pelabur yang ragu-ragu kembali ke pasaran saham baharu.

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