Leitura para a semana

Alguns de nós foram sortudos o suficiente para participar da onda de IPOs que aconteceu de 2005 ao final de 2007 onde a "estratégia ótima" em termos de risco/retorno era simplesmente fazer sua reserva e vender logo nos primeiros minutos de negociação para embolsar um lucro muito bom comparado ao risco.

Quem sabe em um futuro próximo esse verdadeiro "free lunch" não se repita...

Enquanto isso, podemos ler este artigo IPOs as Lotteries: Expected Skewness and First-Day Returns que trata exatamente desse fenômeno dos lucros extraordinários em IPOs.

 

Abstract:

We find IPOs with high expected skewness experience significantly greater first-day returns. High expected skewness also is associated with a greater shift in holdings from institutions to individuals on the first day of trading, which suggests IPO underpricing is related to individual investors' preference for stocks with lottery-like features. The skewness effect is stronger during periods of high investor sentiment. Moreover, IPOs with high expected skewness subsequently earn substantially greater negative abnormal returns in the following three to five years. The results support the predictions of cumulative prospect theory, and suggest IPO underpricing is related to differences in risk preferences between institutions and individuals.