The Information Advantage of Underwriters in IPOs

• 成果类型: Article
• 署名作者: Chiang, Yao-Min; Lowry, Michelle; Qian, Yiming
• 署名单位: National Taiwan University; Drexel University; University of Iowa
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3126
• 发表日期: 2019
• 页码: 5721-5740
• 关键词: IPO; underwriter; auction; Conflicts of interest; information asymmetry

摘要

Using a unique data set of dealer-level trading data in bookbuilding initial public offerings (IPOs), we find strong evidence that lead underwriter trades in IPO firms are significantly related to subsequent IPO abnormal returns. This relation is concentrated among issues in which underwriters' information advantage is likely greater, specifically among IPOs with higher information asymmetry or subject to higher investor sentiment and among underwriters with the most industry experience. In contrast, we find no similar relation for trades by other syndicate members, who are not involved in due diligence or pricing, or around auction IPOs, which are characterized by less underwriter involvement. Our results are consistent with the joint hypothesis that underwriters of bookbuilding IPOs gain unique insight into the values of these client firms and that they trade on this information advantage.