Nonlinear determinants of listing day returns: Evidence from spline regression analysis
Amit Kumar Singh & Mamta Dhanda
What the paper says
Type of the article: Research ArticleAbstractThis study aims to identify the nonlinear determinants of listing day returns globally using a comprehensive dataset. It further examines the regional distinctions and complexities in the international context using spline regression analysis. It also assesses variation in the linear and nonlinear relationships of listing day returns and their determinants across various geographical regions worldwide. Using a set of 8,914 initial public offerings issued across the globe from January 2011 to October 2024, this study employs a restricted cubic spline methodology. Spline knots for each determinant under study were identified to examine the nonlinear influence of the already studied determinant variables. The results of the analysis depict the offer price and listing delay as major non-linear determinants, whereas issue size and market timing significantly influence listing day returns based on linear analysis. In addition, it was found that the Asia-Pacific market substantially differs from other markets geographically, based on splines. The findings of this study provide valuable insights for associated stakeholders by focusing on issue performance, predictions, and market understanding. There is a substantial presence of nonlinear relations among listing day returns and their determinants worldwide.
Evidence weight
Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40
| F · citation impact | 0.50 × 0.4 = 0.20 |
| M · momentum | 0.50 × 0.15 = 0.07 |
| V · venue signal | 0.50 × 0.05 = 0.03 |
| R · text relevance † | 0.50 × 0.4 = 0.20 |
† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.