IPO Failure Risk
构建了一个包含会计信息和金融中介角色的IPO失败预测模型，发现高科技与非科技IPO的失败模式存在结构性差异，并基于此开发了样本外预测模型，其预测值与IPO后异常回报负相关，可用于构建对冲策略。
ABSTRACT We explore the factors associated with historical IPO failures by developing an IPO failure prediction model that includes accounting information as well as proxies for the role of information intermediaries and other IPO deal–related characteristics. We document statistically significant differences in failure models applicable to nontech versus high tech IPOs, and these structural differences are largely driven by accounting‐based proxies for firms' investments in intangible assets, operating performance, and financial leverage. We also develop parsimonious, predominantly accounting‐based, strictly out‐of‐sample (i.e., no hindsight) IPO failure forecasting models for each of the two sectors. We find that our forecasts are negatively associated with one‐year post‐IPO abnormal returns. A pseudo‐hedge strategy of going short (long) in high (low) failure risk portfolios yields returns of economically significant magnitudes over the one‐year horizon, and is robust to alternative returns methodologies. Further results suggest that IPO long‐run returns anomalies may persist, but they take different forms for high‐tech and nontech IPOs.