(15) For example, the valueweighted High-Low NMGR spread in three-year abnormal returns increases from 26.9% for the low-VOL portfolio to 81.6% for the high-VOL portfolio.
However, the high-NMGR, high-VOL portfolio has only 418 firms, less than one-ninth of the sample IPOs (604), and the number of IPOs in the high NMGR column of portfolios decreases monotonically from low to high VOL.
Ln(NMGR) is the natural logarithm of the number of managing underwriters in the underwriting syndicate, demeaned by the average value across IPOs in the same calendar month.
We find that the coefficients on Ln(NMGR) and UWR are positive and statistically significant in Models 1 and 2, respectively.
Among high-VOL IPOs in Panel B, we find that the coefficients on both Ln(NMGR) and UWR are positive and statistically significant in each model while the coefficient on APA is insignificant, similar to our Panel A results.
Among low-VOL IPOs in Panel C, the coefficient on Ln(NMGR) is statistically insignificant in each of the models, while that of UWR remains significant.
As noted earlier (Table III), there is a significant positive correlation between NMGR and UWR and size (MV).
In this subsection, we report the calendar-time factor-adjusted performance of high-, medium-, and low-NMGR, UWR, and APA portfolios as well as high minus low NMGR, UWR, and APA hedge portfolios.
Furthermore, the high minus low NMGR hedge portfolio earns a highly significant abnormal return.
In fact, consistent with the portfolio tests in Section III, the abnormal return found for the value-weighted high minus low NMGR hedge portfolio in Panel A is statistically significant, and larger in magnitude than that found for the equal-weighted hedge portfolio.
Furthermore, if investors do not interpret the information content of underwriter reputation and the number of managing underwriters appropriately, then this could explain why NMGR and UWR are positively related to long-run performance (Result 1).
(14) In the Table VI bivariate sorts, the underwriter quality proxies (NMGR, UWR, and APA) are sorted yearly while VOL is not.