Self-Selectivity in Firm‘s Decision to Withdraw IPO: Bayesian Inference for Hazard Models of Bankruptcy With Feedback

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	Self-Selectivity in Firm‘s Decision to Withdraw IPO: Bayesian Inference for Hazard Models of Bankruptcy With Feedback
	Chen, Rong ; Guo, Re-Jin ; Lin, Ming ; Lin M(林敏)
刊名	http://dx.doi.org/10.1198/jasa.2010.ap08663
	2010-12
关键词	INITIAL PUBLIC OFFERINGS CROSS-VALIDATION DURATION MODELS UNOBSERVED HETEROGENEITY NONPARAMETRIC REGRESSION UNDERWRITER REPUTATION STOCK-PRICES RETURNS PREDICTION EDUCATION
英文摘要	NSF [DMS 0800183, DMS 0905763]; Oxford-Man Institute of Quantitative Finance, Oxford University; Examination on firm performance subsequent to a chosen event is widely used in finance studies to analyze the motivation behind managerial decisions. However, results are often subject to bias when the self-selectivity behind managerial decisions is ignored and unspecified. This study investigates a unique corporate event of initial public offering (IPO) withdrawal, where a firm's subsequent likelihood of bankruptcy is specified in a system of switching hazard models, and the expected difference in post-IPO and postwithdrawal survival probabilities serves as a "feedback" on a firm's decision to cancel its offering. Our Bayesian inference procedure generates strong evidence that incidence of withdrawal unfavorably affects the subsequent performance of a firm, and that the "feedback" is an important determinant in managerial decisions. The econometric and statistical model specification and the accompanying estimation procedure we used can be widely applicable to study self-selective corporate transactions.
语种	英语
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/62452]
专题	化学化工－已发表论文
推荐引用方式 GB/T 7714	Chen, Rong,Guo, Re-Jin,Lin, Ming,et al. Self-Selectivity in Firm‘s Decision to Withdraw IPO: Bayesian Inference for Hazard Models of Bankruptcy With Feedback[J]. http://dx.doi.org/10.1198/jasa.2010.ap08663,2010.
APA	Chen, Rong,Guo, Re-Jin,Lin, Ming,&林敏.(2010).Self-Selectivity in Firm‘s Decision to Withdraw IPO: Bayesian Inference for Hazard Models of Bankruptcy With Feedback.http://dx.doi.org/10.1198/jasa.2010.ap08663.
MLA	Chen, Rong,et al."Self-Selectivity in Firm‘s Decision to Withdraw IPO: Bayesian Inference for Hazard Models of Bankruptcy With Feedback".http://dx.doi.org/10.1198/jasa.2010.ap08663 (2010).