Hedge Fund Attributes, Insider Behavior, and IPO Volatility

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dc.contributor.authorWalker, Rosemary
dc.contributor.authorKwak, Sungkyu
dc.contributor.authorHull, Robert M.en_US
dc.dateJanuary 2017en_US
dc.date.accessioned2018-11-02T14:38:35Z
dc.date.available2018-11-02T14:38:35Z
dc.date.issued2017-01-1
dc.description.abstractIn this paper, we explore the influence of hedge fund attributes and insider ownership on volatility in the excess stock returns for 707 initial public offerings (IPOs) occurring from 2004-2010. Our sample period covers the subprime mortgage crisis where the number of hedge funds rose 36% fro the years 2007-2009 even though the overall size of hedge fund assets fell 38% during these same years. We discover the following when we test IPO volatility during the month of the IPO. We find an increase in the number of hedge funds decreases volatility and this is true for both of our volatility measures: idiosyncratic volatility (IVOL) and systematic volatility (SVOL). We document that an increase in leverage and equity hedge strategies intensifies IVOL and to a lesser degree SVOL. We discover an increase in relative (arbitrage) value and event-driven strategies amplifies SVOL and to a lesser degree IVOL. We provide evidence that greater hedge fund returns lessens IPO volatility, especially for SVOL. We find greater IPO volatility during the sub prime meltdown and also show that greater assets under management during this period reduce volatility. We find larger insider ownership proportions after the IPO are associated with higher volatility. Finally, we discover greater declines in insider ownership due to the IPO are associated with lower IVOL and to a lesser extent with SVOL.en_US
dc.description.sponsorshipKaw Valley Banken_US
dc.format.mediumPDFen_US
dc.identifier.otherSchool of Business Working Paper Series; No. 193en_US
dc.identifier.urihttps://hdl.handle.net/10425/304
dc.language.isoen_USen_US
dc.publisherWashburn University. School of Businessen_US
dc.subjectHedge fundsen_US
dc.subjectStocksen_US
dc.subjectInitial public offerings (IPO)en_US
dc.subjectIdiosyncratic volatilityen_US
dc.subjectSystematic volatilityen_US
dc.titleHedge Fund Attributes, Insider Behavior, and IPO Volatilityen_US
dc.typeWorking paperen_US
washburn.identifier.cdm229en_US
washburn.identifier.oclc986510510en_US
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