Table 1 Variables definition

Panel A: Dependent Variables and DID (before-after) variables

IDR

The IDR variable indexes initial day returns and captures the IPO underpricing. It is calculated as first-day returns, the difference between IPO offer price and first listing day closing market price, and adjusted to the corresponding daily change in the BIST100 index

BHAR2Y

The BHAR variable indexes buy and hold abnormal returns. Calculated for a 2-year buy-and-hold period where IPO share is bought at the end of the first trading day closing price and held for 2 years. The BHAR variable is adjusted for the changes in the benchmark measure, i.e. BIST100 index

Post

Equals 1 (one) if the IPO is conducted following 2006; and equals 0 (zero) otherwise

Treatment

Equals 1 (one) for the IPOs conducted between 1998 to 2019, excluding years 2005, and 2006 (to eliminate the impact of probable confounding effects in the transition year to IFRS)

IFRS

IFRS is an interaction of post and treatment (post*treatment) which is meant to capture the change in IPO pricing concerning the benchmark group (i.e. IPOs conducted during the pre-IFRS period, 1998–2004) following the decision that mandated IFRS

Panel B: Firm-level controls

SIZE

The size variable represents the log total book assets obtained from the most recent financial report (lagged by one quarter) before the IPO date

AGE

The age variable represents the number of years between the firm establishment and the IPO date. To eliminate firms with an AGE of zero, 1 is added to the AGE

OFFER RATE

The offered rate represents the percent of ownership offered to the public during the IPO

ROA

The ROA variable represents the ratio of net income to total book assets and is obtained from the most recent financial report (lagged by one quarter) before the IPO date

PROCEED

The PROCEED variable represents the ratio of capital increase (i.e. part of the IPO proceeds that will stay inside the firm), in U.S. Dollars, to total proceeds raised, in U.S. Dollars

LEV

The LEV variable represents the ratio of total book debt to total book equity. It is obtained from the most recent financial report (lagged by one quarter) before the IPO date

Panel C: Market-level and investor-type controls

BIST100

The BIST100 variable represents the prior month’s return in the Borsa Istanbul 100 index relative to the IPO date

VOL

The VOL variable indexes market volatility. It is calculated as the standard deviation of daily BIST100 returns by using one month before the IPO date

HOT

Equals 1 (one) if the number of IPOs conducted during a year is higher than the sample median, and 0 (zero) otherwise

Ins

Equals 1 (one) if a buyer of the IPO share is an institutional investor; and 0 (zero) otherwise

BULL Dummy

Equals 1 (one) if one month’s daily average return of the BIST100 index before the IPO date is positive, and equals 0 (zero) otherwise

RETAIL

Equals 1 (one) if there is no institutional type investor in the IPO event, and 0 (zero) otherwise

Panel D: Other controls

Prestige

The prestige variable represents the underwriter’s reputation. It is a grading method following the works of Jamaani and Ahmed (20202021), and Jamaani and Alidarous (2021). Initially, all underwriters are assigned a grade by considering their total proceeds for all IPOs underwritten in Turkey from 1998 to 2019. Then, underwriters are ranked based on their relative proceeds from underwritten IPOs; later top 10 percent is classified as prestigious and assigned a value of 1 (one); and 0 (zero) otherwise

Voice and Accountability

Reflects perceptions of the extent to which a country's citizens can participate in selecting their government, as well as freedom of expression, freedom of association, and free media. The index ranges from − 2.5 (poor) to 2.5 (good)

Political Stability

Political Stability and absence of violence/terrorism measure perceptions of the likelihood of political instability and/or politically-motivated violence, including terrorism. The index ranges from − 2.5 (poor) to 2.5 (good)

Government Effectiveness

Reflects perceptions of the quality of public services, the quality of the civil service and the degree of its independence from political pressures, the quality of policy formulation and implementation, and the credibility of the government's commitment to such policies. The index ranges from − 2.5 (poor) to 2.5 (good)

Regulatory Quality

Reflects perceptions of the ability of the government to formulate and implement sound policies and regulations that permit and promote private sector development. The index ranges from − 2.5 (poor) to 2.5 (good)

Control of Corruption

Reflects perceptions of the extent to which public power is exercised for private gain, including petty and grand forms of corruption and "capture" of the state by elites and private interests. The index ranges from − 2.5 (poor) to 2.5 (good)

Rule of Law

Reflects perceptions of the extent to which agents have confidence in and abide by the rules of society, particularly the quality of contract enforcement, property rights, the police, and the courts, as well as the likelihood of crime and violence. The index ranges from − 2.5 (poor) to 2.5 (good)