Abstract
This study examines the winner’s curse phenomenon using Amihud’s allocation rate (ALLOCTJ) which is the natural log of the reciprocal of investor demand. Using data set from 446 initial public offerings (IPOs) listed on Bursa Malaysia from January 2000 until December 2013, this study yields multiple regression results that show ALLOCTJ is consistently significantly negative in influencing initial returns of the IPOs. This finding indicates that uninformed investors are more likely to win IPOs which are not demanded by the informed investors, and subsequently these winners are cursed for subscribing to IPOs that produce low or negative initial returns.
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