Evidence on price stabilization and underpricing in early IPO returns

• 成果类型: Article
• 署名作者: Asquith, D; Jones, JD; Kieschnick, R
• 署名单位: Deloitte Touche Tohmatsu Limited
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00071
• 发表日期: 1998
• 页码: 1759-1773
• 关键词: initial public offerings; maximum-likelihood; issues; MARKET; distributions; INFORMATION; support; STOCK

摘要

Using data on 560 firm-commitment initial public offerings of common stock for the 1982-1983 period, we find that the cross-sectional distribution of one-day returns is modeled better as a mixture of two distributions, with the parameter estimates of one distribution being consistent with underpricing and the other with price stabilization. Further, the evidence that early IPO returns are drawn from a mixture distribution persists for at least four weeks. The implications of these results for the analysis of IPO returns are illustrated by examining the influence of a measure of ex ante price uncertainty on IPO pricing.