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Invio questo messaggio per conto del SAFE Center.
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I Seminari di Giardino Giusti
SAFE Center
Via Giardino Giusti 2 - Verona
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http://web.economia.univr.it/safe
Venerdi' 16 gennaio 2004
Silvia Rossetto (University of Warwick)
The Price of Rapid Exit in Venture-backed IPOs
Giampiero Gallo (Universita' di Firenze)
A Multiple Indicators Model for Volatility Using Intra-Daily Data
ABSTRACT
The Price of Rapid Exit in Venture-backed IPOs
We model IPO as the main exit mode for early stage investors facing new
investment opportunities. We show that the value of the firm for sale and
of
the new venture are signaled through retained shares and underpricing. The
clustering of new investment opportunities drives the hot issue market
phenomena, that is many IPOs together with high underpricing. We then
introduce a role for venture capitalists in controlling moral hazard
behavior by the entrepreneur. The optimal venture capital contract affects
the form of exit, and provides a possible explanation for an empirical
puzzle in literature: venture capital backed firms are either more (resp.
less) underpriced in hot (resp. cold) periods.
ABSTRACT
A Multiple Indicators Model for Volatility Using Intra-Daily Data
Many ways exist to measure and model financial asset volatility. In
principle, as the frequency of the data increases, the quality of
forecasts
should improve. Yet, there is no consensus about a "true" or "best"
measure
of volatility. In this paper we propose to jointly consider absolute daily
returns, daily high-low range and daily realized volatility to develop a
forecasting model based on their conditional dynamics. As all are
non-negative series, we develop a multiplicative error model that is
consistent and asymptotically normal under a wide range of specifications
for the error density function. The estimation results show significant
interactions between the indicators. We also show that one-month-ahead
forecasts match well (both in and out of sample) the market-based
volatility
measure provided by an average of implied volatilities of index options as
measured by VIX.
Responsabili organizzativi
Andrea Gamba e Claudio Tebaldi
Il seminario ha inizio alle ore 10.30.
La partecipazione libera e non richiede iscrizione.
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SAFE Center
via Giardino Giusti, 2
37129 Verona (Italy)
Fax: + 39 045 8054 935
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