IPOX - An Initial Public Offerings IndeX

Abstract: In this paper we construct an index of Initial Public Offerings (IPOX) which is isomorph to the Austrian Traded Index (ATX). Conjecturing that the ATX constitutes a good leading indicator for the IPOX, in a first step we predict the ATX using linear and neural network models. Second, we estimate the IPOX one day ahead based on observed ATX data. We compare the quality of this estimation to an IPOX forecast based on forecasted ATX values in a third step. Given the ATX forecasting method the IPOX forecast based on a linear model always outperforms the ANN - IPOX forecast. By contrast, given the IPOX forecasting method, the ANN - ATX forecast beats the linear ATX - forecast.;