To Survey the Existence of Abnormal Return in Initial Public Offering at the Presence & Absence of Price Bubbles: Case of Tehran Stock Exchange

Definitely appropriate pricing of initial public offering of corporations is very important. In this research, the existence of significant short and long-term abnormal returns at the presence and absence of price bubbles are investigated. The results show that there are significant short and long-term abnormal returns at the absence of price bubbles and there are significant short-term abnormal returns in the price bubbles periods in Tehran Stock Exchange. Furthermore, despite that in the short term the differences between abnormal returns at the presence and absence of price bubbles are not significant; these differences are significant in the long term. Finally we found that in the price bubble conditions and in the short-term period factors including size, stock market return one month before the offering and margin have a significant effect on the abnormal returns while in the long-term period just size has a significant effect. However, at the absence of price bubbles and in short-term periods none of the selected variables have significant effects on abnormal returns. At the last run by changing the periods from short to long-term, two variables, audit firm and error of predicted returns, have significant effects on the abnormal returns of IPOs at the 5% error level.