Cash flow uncertainty and IPO underpricing: evidence from income guarantee in Thai REITs

IF 1.6 Q3 BUSINESS, FINANCE Journal of Property Investment & Finance Pub Date : 2021-01-05 DOI:10.1108/jpif-07-2020-0085
Kanis Saengchote, Chittisa Charoenpanich
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引用次数: 4

Abstract

PurposeThe purpose of this article is to investigate the relationship between cash flow uncertainty and the underpricing of real estate investment trust (REIT) initial public offerings (IPOs) using hand-collected data on income guarantee in Thailand from January 2005 to December 2019.Design/methodology/approachThis article uses linear regression to determine the relationship between underpricing (initial return) and proxy for cash flow uncertainty (income guarantee), controlling for other factors. Because issuers can use several actions to signal their quality under asymmetric information, the joint decisions are analyzed as simultaneous equations and estimated using three-stage least square (3SLS) to address potential endogeneity concern.FindingsThis article finds that underpricing, on average, is negatively related to income guarantee, which is a proxy for ex ante cash flow uncertainty. The relationship is economically and statistically significant and robust to simultaneous equations estimation. Further investigation shows that REITs with income guarantee tend to have lower systematic risk (measured by CAPM beta) and returns, making the nature of some REITs more debt-like than equity-like.Practical implicationsFor issuers, the result suggests that offering income guarantee (which is more costly for assets with lower quality) can be a useful signal of asset quality to investors and reduce IPO discount. For institutional and retail investors, the results are informative about the risk-return tradeoffs in REIT IPO investment opportunities. Income guarantees makes REIT exposure more fix income-like, so there is a need to consider the credibility of the guarantor as well.Originality/valueThis article is the first to use income guarantee as an ex ante measure of cash flow uncertainty and explicitly investigates its linkage to IPO underpricing. This aspect of uncertainty and IPO underpricing remains little-studied in the academic literature. It also contributes to the growing literature of REIT IPOs in Asia.
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现金流的不确定性与IPO抑价——来自泰国REITs收入保障的证据
本文的目的是利用泰国2005年1月至2019年12月的收入保证数据,研究现金流不确定性与房地产投资信托(REIT)首次公开发行(ipo)定价过低之间的关系。本文使用线性回归来确定定价过低(初始收益)与现金流不确定性代理(收入保证)之间的关系,控制其他因素。由于发行人在信息不对称的情况下可以使用多种行动来表明其质量,因此联合决策被分析为联立方程,并使用三阶段最小二乘法(3SLS)进行估计,以解决潜在的内生性问题。本文发现,平均而言,定价过低与收入保证呈负相关,收入保证是事前现金流不确定性的代表。这种关系在经济上和统计上都是显著的,并且对联立方程估计具有鲁棒性。进一步的研究表明,有收益保障的REITs往往具有较低的系统风险(以CAPM beta衡量)和收益,这使得一些REITs的性质更像债务而不是股权。对于发行人而言,研究结果表明,提供收益保证(对于质量较低的资产来说成本较高)可以向投资者提供资产质量的有用信号,并降低IPO折扣。对于机构投资者和散户投资者而言,研究结果对房地产投资信托基金IPO投资机会的风险回报权衡提供了信息。收入保证使房地产投资信托基金的敞口更像固定收益,因此也需要考虑担保人的信誉。原创性/价值本文首次将收入保证作为现金流不确定性的事前度量,并明确研究了其与IPO定价过低的联系。这方面的不确定性和IPO定价过低在学术文献中仍然很少研究。这也促进了亚洲房地产投资信托基金(REIT) ipo文献的增多。
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来源期刊
CiteScore
3.50
自引率
23.10%
发文量
33
期刊介绍: Fully refereed papers on practice and methodology in the UK, continental Western Europe, emerging markets of Eastern Europe, China, Australasia, Africa and the USA, in the following areas: ■Academic papers on the latest research, thinking and developments ■Law reports assessing new legislation ■Market data for a comprehensive review of current research ■Practice papers - a forum for the exchange of ideas and experiences
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