[Dataset] Determinants of Underpricing in Initial Public Offerings of Dhaka Stock Exchange using R Studio
Description
The dataset shows the data collected for the determinants of underpricing (or initial return) in IPOs of DSE and establishes a multiple regression model with model diagnostic tests using R Studio (version 4.2.2). The determinants were selected according to the previous IPO researches. Numerical Data and information of the determinants were collected by visiting different government and regulatory body's websites and online documents. The data was then compiled in the Microsoft Excel file (xlsx format). The regression model and diagnostic tests were run and conducted by first importing the 'Reg_Data' tab from Microsoft Excel file. The model and tests were run using appropriate and sequential coding that are written in the R File (.R format)
Files
Steps to reproduce
Acquiring and Compiling Data into the Microsoft Excel File - 1. Issue Price Issue Price was acquired from the IPO details document found in the IPO Archive of Dhaka Stock Exchange (DSE) [1]. 2. Closing Price The closing price of a share on the first trading day. Acquired from the LankaBangla Finance website Price Archive page [2]. 3. Initial Return It (or Underpricing) is expressed as a percentage change of the closing price from the initial issue price. 4. Age The difference (years) between the issue year and the commencement year of company, found in IPO Prospectus submitted to the Bangladesh Securities and Exchange Commission (BSEC) [3]. 5. Offer Price Same as Issue Price. 6. EPS Acquired from the Statement of Profit and Loss of the IPO Prospectus submitted to BSEC [3] 7. Subscription Rate Acquired from the IPO details document from IPO Archive of Dhaka Stock Exchange [1]. 8. Size of the Offer Acquired from the IPO Prospectus submitted to BSEC [3] 9. Size of the Firm Acquired from the Statement of Financial Position of the IPO Prospectus submitted to BSEC [3] 10. Financial Leverage Acquired by dividing the Total Debt by the Total Liabilities of the company found in Statement of Financial Position in IPO Prospectus submitted to BSEC [3] 11. Subscription Open & Trading Date Acquired from the IPO details document found in the IPO Archive of Dhaka Stock Exchange [1]. 12. Offer Timing The difference (days) between date of subscription open and trading. 13. Market Volatility Acquired by using the standard deviation of DSE Index Value between the Subscription Open Date and Trading Date which were acquired through the Macroeconomic Data by Bangladesh Bank [4] and Data Archive of DSE website [5]. 14. Method of Issue Acquired from the IPO details document that are found in the IPO Archive of Dhaka Stock Exchange [1]. 15. Market Return The percentage difference of the DSE index value between the Subscription Open Date and Trading Date. 16. MAIR Acquired by adjusting the Initial Return and the Market Return. 17. Industry Acquired from the Sector Wise Company Listing of DSE [6] 18. Industry Average MAIR Acquired by using the average of all companies based on their industry. Regression and Test - 1. Before importing to R Studio, 'Reg_Data' tab was created in the Excel File from the IPO Dataset tab using only 09 numerical variables and by transforming the Size of the Firm using Log10 base. 2. Download and Install R Studio Desktop and R Software [7] & [8]. 3. Keep the .R File and the Excel File in the same folder and run R file codes as sequenced. [1] https://www.dsebd.org/ipo_archive.php [2] https://lankabd.com/Home/PriceArchive [3] https://sec.gov.bd/home/ipobook [4] https://www.bb.org.bd/econdata/time_series_data1972-2020.xlsx [5] https://www.dsebd.org/data_archive.php [6] https://www.dsebd.org/by_industrylisting.php [7] https://posit.co/download/rstudio-desktop/ [8] https://cran.r-project.org/bin/windows/base/R-4.2.2-win.exe