Bayesian piecewise stochastic frontier model to estimate initial public offering pricing efficiency under issuance policy reforms

DOI10.1002/ASMB.2594MaRDI QIDQ6579563zbMATH OpenFDO

Authors Shijie Jin, Xinyu Wang, Zhuqing Wang, Yan Xu

Publication date 25 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

Bayesian inferencechange pointsstochastic frontierIPO underpricing

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Bayesian Analysis for Change Point Problems
• A gamma-distributed stochastic frontier model
• Bayesian Measures of Model Complexity and Fit
• Bayesian and non-Bayesian analysis of gamma stochastic frontier models by Markov chain Monte Carlo methods
• Common breaks in means and variances for panel data
• Confidence sets for the date of a single break in linear time series regressions
• Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error
• Formulation and estimation of stochastic frontier production function models
• Modeling short‐term post‐offering price–volume relationships using Bayesian change‐point panel quantile regression
• Stochastic frontier models. A Bayesian perspective

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