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Finance and Credit

Forecasting the risk and returns of IPOs on the Nasdaq stock exchange considering asymmetric information

Vol. 28, Iss. 7, JULY 2022

Received: 28 April 2022

Received in revised form: 19 May 2022

Accepted: 2 June 2022

Available online: 28 July 2022

Subject Heading: Securities market

JEL Classification: O16

Pages: 1493–1510


Artur A. SHAKHNAZAROV Saint Petersburg State University, St. Petersburg, Russian Federation


Subject. The article addresses anticipation of risks and returns of IPOs on the NASDAQ stock exchange, considering the asymmetric information.
Objectives. The purpose is to identify factors that determine the risk and returns of IPOs, to build predictive models on their basis.
Methods. The study draws on analysis and synthesis, as well as logistic regression models.
Results. The paper reveals variables that determine the risk and return of an IPO, and derives equations of corresponding predictive models.
Conclusions. I built mathematical models that can be used by analysts on financial markets, investment companies, and funds to make a decision on advisability of investing in company shares at the IPO stage.

Keywords: IPO, financial market, NASDAQ stock exchange, asymmetric information, logistic regression


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