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Exit timing after an IPO is one of the most consequential decisions for venture capital (VC) investors, yet existing research focuses mainly on describing when VCs exit rather than evaluating whether those choices are economically optimal. Meanwhile, large language models (LLMs) have shown promise in synthesizing complex financial data and textual information but have not been applied to post-IPO exit decisions. This…
Introduction: As digital health evolves, identifying factors that drive success is crucial. This study examines how reimbursement billing codes affect the long-term financial performance of digital health companies on U.S. stock markets, addressing the question: What separates the winners from the rest? Methods: We analyzed digital health companies that went public on U.S. stock exchanges between 2010 and 2021, offer…
We study the impacts of regime changes and related rule implementations on IPOs initial return for China entrepreneurial boards (ChiNext and STAR). We propose that an initial return contains the issuer fair value and an investors overreaction and examine their magnitudes and determinants. Our findings reveal an evolution of IPO pricing in response to the progression of regulation changes along four dimensions: 1) gov…
I examine potential mechanisms behind two stylized facts of initial public offerings (IPOs) returns. By analyzing investor emotions expressed on StockTwits and Twitter, I find that emotions conveyed through these social media platforms can help explain the mispricing of IPO stocks. The abundance of information and opinions shared on social media can generate hype around certain stocks, leading to investors' irrationa…
Since its inauguration, ChiNext has gone through three time periods with two different regulation regimes and three different sets of listing day trading restrictions. This paper studies the impact of regulation regimes and listing day trading restrictions on the initial return of ChiNext IPOs. We hypothesize that the initial return of a ChiNext IPO contains the issuers intrinsic value and the investors overreaction.…
This paper presents an empirical analysis of the capital asset pricing model using trading data for the Chinese A-share market from 2000 to 2019. Firstly, the standard CAPM is tested using a Fama-MacBetch regression and although the results successfully test the three core hypotheses, the resulting beta risk does not have a significant impact on returns. Secondly, the Fama-French three-factor model, which uses a comb…
We propose an option approach for pricing bond illiquidity that is reminiscent of the celebrated work of Longstaff (1995) on the non-marketability of some non-dividend-paying shares in IPOs. This approach describes a quite common situation in the fixed income market: it is rather usual to find issuers that, besides liquid benchmark bonds, issue some other bonds that either are placed to a small number of investors in…
This study develops an interpretable machine learning framework to forecast startup outcomes, including funding, patenting, and exit. A firm-quarter panel for 2010-2023 is constructed from Crunchbase and matched to U.S. Patent and Trademark Office (USPTO) data. Three horizons are evaluated: next funding within 12 months, patent-stock growth within 24 months, and exit through an initial public offering (IPO) or acquis…
Predicting startup success presents a formidable challenge due to the inherently volatile landscape of the entrepreneurial ecosystem. The advent of extensive databases like Crunchbase jointly with available open data enables the application of machine learning and artificial intelligence for more accurate predictive analytics. This paper focuses on startups at their Series B and Series C investment stages, aiming to …
Biotechnologies are being commercialized at historic rates. In 2020, 74 biotech startups went public through an Initial Public Offering (IPO), and 60 went through the IPO process in the first six months of 2021. However, the traits associated with biotech startups obtaining recent IPOs have not been reported. Here we build a database of biotechs that underwent an IPO in the first half of 2021. By analyzing leadership…
This study examines the impact of dividend policy on the performance of initial public offerings in India. The period of study is from the year 2011-2014. Monthly returns of the IPOs issued in the considered period and the Indian Stock Market Index (Nifty 50) were considered for the long-run performance study. The methodological tools used are long-run performance statistics and the GARCH model. The Dummy variable wa…
In this study, we will study investor attention measurement using the Search Volume Index in the recent market. Since 2009, the popularity of mobile devices and the spread of the Internet have made the speed of information delivery faster and the investment information retrieval data for obtaining investment information has increased dramatically. In these circumstances, investor attention measurement using search vo…
We develop a methodology which replicates in great accuracy the FTSE Russell indexes reconstitutions, including the quarterly rebalancings due to new initial public offerings (IPOs). While using only data available in the CRSP US Stock database for our index reconstruction, we demonstrate the accuracy of this methodology by comparing it to the original Russell US indexes for the time period between 1989 to 2019. A py…
The complex networks approach has been gaining popularity in analysing investor behaviour and stock markets, but within this approach, initial public offerings (IPO) have barely been explored. We fill this gap in the literature by analysing investor clusters in the first two years after the IPO filing in the Helsinki Stock Exchange by using a statistically validated network method to infer investor links based on the…
We consider the problem of evaluating the quality of startup companies. This can be quite challenging due to the rarity of successful startup companies and the complexity of factors which impact such success. In this work we collect data on tens of thousands of startup companies, their performance, the backgrounds of their founders, and their investors. We develop a novel model for the success of a startup company ba…
This research examines relationship between staging of Venture Capital (VC) investments and social feedback visible in publicly available data on the Web. We address the question of Venture Capital investment sensitivity to performance and prospects of new venture, given as likelihood of obtaining future financing, available exit options and duration between investment rounds. We argue that in the case of Internet co…
On December 16th, 2011, Zynga, the well-known social game developing company went public. This event followed other recent IPOs in the world of social networking companies, such as Groupon or Linkedin among others. With a valuation close to 7 billion USD at the time when it went public, Zynga became one of the biggest web IPOs since Google. This recent enthusiasm for social networking companies raises the question wh…
We present a novel methodology to determine the fundamental value of firms in the social-networking sector based on two ingredients: (i) revenues and profits are inherently linked to its user basis through a direct channel that has no equivalent in other sectors; (ii) the growth of the number of users can be calibrated with standard logistic growth models and allows for reliable extrapolations of the size of the busi…
IPO Pipeline — New issuance calendar as sentiment and liquidity absorption gauge.
Bipower Variation (Quant).
Lockup Expiry Overhang (Equity).
IPO Lockup US (Equity).
IPO Lockup Europe (Equity).
IPO Lockup Japan (Equity).
IPO Lockup China (Equity).
IPO Lockup EM (Equity).
IPO Lockup tech (Equity).
IPO Lockup banks (Equity).
IPO Lockup energy (Equity).
IPO Lockup healthcare (Equity).
IPO Lockup small-cap (Equity).
IPO Lockup large-cap (Equity).
IPO Lockup mega-cap (Equity).
IPO Lockup growth (Equity).
IPO Lockup value (Equity).
Bipower Variation (Quant).
IPO Lockup banks (Equity).
IPO Lockup China (Equity).
IPO Lockup EM (Equity).
IPO Lockup energy (Equity).
IPO Lockup Europe (Equity).
IPO Lockup growth (Equity).
IPO Lockup healthcare (Equity).
IPO Lockup Japan (Equity).
IPO Lockup large-cap (Equity).
IPO Lockup mega-cap (Equity).
IPO Lockup small-cap (Equity).
IPO Lockup tech (Equity).
IPO Lockup US (Equity).
IPO Lockup value (Equity).
IPO Pipeline — New issuance calendar as sentiment and liquidity absorption gauge.