IPO market cycles: Bubbles or sequential learning?

• 成果类型: Article
• 署名作者: Lowry, M; Schwert, GW
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Rochester
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00458
• 发表日期: 2002
• 页码: 1171-1200
• 关键词: initial public offerings; long-run performance; investment banking; issues; INFORMATION; reputation; services

摘要

Both IPO volume and average initial returns are highly autocorrelated. Further, more companies tend to go public following periods of high initial returns. However, we find that the level of average initial returns at the time of filing contains no information about that company's eventual underpricing. Both the cycles in initial returns and the lead-lag relation between initial returns and IPO volume are predominantly driven by information learned during the registration period. More positive information results in higher initial returns and more companies filing IPOs soon thereafter.