Bookbuilding: How informative is the order book?
成果类型：
Article
署名作者：
Cornelli, F; Goldreich, D
署名单位：
University of London; London Business School; Centre for Economic Policy Research - UK
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/1540-6261.00572
发表日期：
2003
页码：
1415-1443
关键词：
摘要：
We examine the institutional bids submitted under the bookbuilding procedure for a sample of international equity issues. We find that information in bids which include a limit price, especially those of large and frequent bidders, affects the issue price. Oversubscription has a smaller but significant effect for IPOs. Public information affects the issue price to the extent that it is reflected in the bids. Oversubscription and demand elasticity are positively correlated with the first-day aftermarket return, and demand elasticity is negatively correlated with aftermarket volatility. Our results support the view that bookbuilding is designed to extract information from investors.
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