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Emmanuel Morales Camargo, Ph.D.
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Telephone: (505) 277-3403
Email: emmanuel@unm.edu
Interested in Participating in a financial experiment? Find
out more information here.
Teaching
Office hours for Fall 2007: ASM Rm. 2083, TTh 7:00 - 8:00P.M. & by appointment
Research
Abstract: The presence of both restricted and unrestricted, U.S.-style, bookbuilt IPOs in Hong Kong provides an ideal environment to test numerous underpricing models by simultaneously measuring the effects of allocation restrictions on the investment bankers’ price discovery, underwriting, and distribution functions. While clawbacks, a set of restrictions favoring retail investors not participating in the roadshow, result in diminished and more expensive price discovery, they reduce the investment bankers’ dependence on institutional investors to dispose of IPO shares, resulting in lower underpricing. This favors models that highlight the importance of the underwriting function on underpricing, showing that allocation restrictions affect more that just price discovery.
Abstract: This study evaluates the implications of three of the extant IPO models relating underpricing and aftermarket liquidity. Using hand collected data from a sample of bookbuilt Hong Kong IPOs, this study tests the predictions of the aforementioned models by evaluating not only the direction and sign of the theorized relation between these two variables, but also the role played by the shareholder base and post-IPO information asymmetry in this relation. The public availability of bid and allocation data in the Hong Kong Stock Exchange has made it possible to conduct such an in-depth evaluation of these models, an undertaking not yet attempted by prior empirical research. Test results show little support for models that posit that aftermarket liquidity and liquidity risk are responsible for higher underpricing. In contrast, I find strong support for models that conceive observed underpricing as a significant driver of post-IPO liquidity.
“Uncertainty and
Differential Information in Common-Value, Divisible-Good Auctions” Joint
work with Orly Sade (Hebrew University), Charles R. Schnitzlein
(University of Central Florida), and Jaime F. Zender (University of
Colorado).
Abstract: An experimental approach is used to examine the performance
of two different multi-unit auction designs: discriminatory and uniform-price
with fixed supply. In the
experimental setting, each bidder receives an i.i.d. signal which plays a role
in determining fundamental value, but no bidder has an ex ante informational
advantage. We thus study a setting in which the winner’s curse
typically arises in a single-unit auction experiments, but focus on how the
ability to submit demand curves affects performance, and importantly, how this
dependence is mechanism specific. Although
phenomena like the winner’s curse are well suited for a laboratory study, we
also place our work in the context of theoretical models (i.e. Wang and Zender
(2002)). Our work is in part
motivated by the increasing interest in using auction mechanisms in financial
settings such as equity IPOs where there can be substantial disagreement with
respect to intrinsic value and the auction mechanism can play a potentially
important role in information aggregation
Links of Interest