on the control variables in the regressions are generally consistent with
cumulative abnormal return over the 5 days preceding the offering if it is
negative is seen to have a significantly negative relation with issue
discount. This implies that firms with more negative abnormal returns in the
5 days prior to the issuance have larger underpricing—the authors suggest
that these variables could be capturing some of the effects of short selling
and its influence on pre offer prices.
|The key variable
they use to measure short selling intensity ABRELSS. The coefficient of
ABRELSS[ID-10, ID-1] is highly significant. Under the 119 Gerard and Nanda
model this is consistent with higher levels of manipulative short selling
before SEO issue dates being associated with larger issue discounts.
hold with ABSS[ID-10,ID-1] and RELSS[ID-10,ID-1].