Market Volatility and IPO Filing Activity

Authors

Walid Y. Busaba, Ivey Business School
Daisy Yun Li, Bank of Montreal
Guorong Yang, Bank of Montreal

Document Type

Article

Publication Date

12-2015

Volume

5

Issue

4

Journal

Quarterly Journal of Finance

URL with Digital Object Identifier

http://dx.doi.org/10.1142/S2010139215500172

Abstract

The IPO filing volume is positively related to changes in market volatility, especially when market returns are at ‘normal’ levels. This is consistent with the view that filing with the SEC gives would be issuers an ‘option’ on market valuations. Creating this option is attractive not only when market valuations rise but also when volatility increases, and the effect of volatility is more pronounced when market returns are neither high nor low. We therefore identify a distinct type of ‘window of opportunity’ for firms attempting to go public, characterized not particularly by strong stock valuations but by increased volatility in valuations.

Notes

This is an author-accepted version of an article published in Quarterly Journal of Finance. The final published version can be found at http://dx.doi.org/10.1142/S2010139215500172