Predicting strategic retrenchment: a volatility-based analysis of IPO withdrawal
Giordano, Luca (A.A. 2024/2025) Predicting strategic retrenchment: a volatility-based analysis of IPO withdrawal. Tesi di Laurea in Advanced corporate finance, Luiss Guido Carli, relatore Fabrizio Core, pp. 115. [Master's Degree Thesis]
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Abstract/Index
IPOs, external financing and market conditions. Equity capital raising and the decision to go public. Risks faced by firms during an IPO. The influence of market conditions on equity issuance. IPO withdrawal as a strategic response to volatility. Forecasting market conditions: the role of GARCH and other volatility models. Empirical analysis part i: volatility modeling and forecasting. Data for volatility forecasting. Historical volatility models. Implied volatility and the V2X index. Variance and volatility risk premium. GARCH family models. Realized volatility construction. Forecast evaluation framework. Empirical analysis part ii: volatility and IPO outcomes. IPO dataset construction. Matching IPOs to volatility forecasts. Empirical model 1: IPO disruption (withdrawn or postponed). Empirical models 2–3: offer price revisions and first-day underpricing (trading IPOs).
References
Bibliografia: pp. 111-114.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Management, English language (LM-77) |
| Chair: | Advanced corporate finance |
| Thesis Supervisor: | Core, Fabrizio |
| Thesis Co-Supervisor: | Santella, Rosella |
| Academic Year: | 2024/2025 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 25 Jun 2026 08:18 |
| Last Modified: | 25 Jun 2026 08:18 |
| URI: | https://tesi.luiss.it/id/eprint/46247 |
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