Título Inglês:
Determinants of price stabilization in IPOs
Resumo:
O processo clássico de estabilização de preços em IPOs consiste na venda de um lote suplementar de ações (sobrealocação) e eventualmente recompra das mesmas (aftermarket short covering ou ASC) para evitar queda acentuada ou alta volatilidade do preço. Este artigo provê uma descrição da atividade de estabilização no Brasil e investiga seus determinantes em três aspectos: o exercício da opção de sobrealocação, a ocorrência da estabilização (ASC) e a intensidade da mesma. Os nossos resultados indicam que a estabilização é uma atividade importante em IPOs. A intensidade da estabilização no Brasil é semelhante àquela dos EUA. Os três diferentes aspectos da estabilização apresentam determinantes distintos: o exercício da opção de sobrealocação é determinada exclusivamente pelas condições de demanda; os IPOs estabilizados são aqueles com maior risco, com menor demanda e que são conduzidos por underwriters de melhor reputação e a intensidade da estabilização depende positivamente do risco e da demanda. Nenhum dos modelos teóricos existentes explica completamente estes resultados.
Resumo Inglês:
In the most common mechanism for price stabilization in IPOs, the underwriter distributes stocks in excess of what was contracted (overallotment) and eventually covers this short naked position by purchasing stocks in the secondary market (Aftermarket short covering , ASC). This mechanism can be used to avoid price drop or price volatility. This article provides a description of such activity in Brazil. We investigate the determinants of price stabilization in three aspects: amount overallotted, occurrence of ASC and its intensity. Our results indicate that price stabilization is an important activity in Brazilian IPOs and quite similar to that occurring in the US. The three different aspects of price stabilization have different determinants. The amount overallotted depends only on the ex-ante demand conditions. ASC occurs mostly on IPOs characterized by high risk, low ex-ante demand and carried by reputable underwriters. The intensity of the ASC increases with the riskiness and decreases with the ex-ante demand. None of the existing models fully explain these results.
Citação ABNT:
CARVALHO, A. G.; PINHEIRO, D. B. Determinants of price stabilization in IPOs. Revista Brasileira de Finanças, v. 8, n. 4, art. 110, p. 443-468, 2010.
Citação APA:
Carvalho, A. G., & Pinheiro, D. B. (2010). Determinants of price stabilization in IPOs. Revista Brasileira de Finanças, 8(4), 443-468.
Link Permanente:
https://www.spell.org.br/documentos/ver/4526/determinantes-da-estabilizacao-de-precos-em-ofertas-publicas-iniciais-de-acoes/i/pt-br
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