The demand for stocks: An analysis of IPO auctions

被引：70

作者：

Kandel, S

Sarig, O ^{[1
]}

Wohl, A

机构：

[1] Tel Aviv Univ, Fac Management, IL-69978 Tel Aviv, Israel

[2] Bar Ilan Univ, IL-52100 Ramat Gan, Israel

来源：

REVIEW OF FINANCIAL STUDIES | 1999年 / 12卷 / 02期

关键词：

D O I：

10.1093/rfs/12.2.227

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze a unique dataset that includes the full demand schedules of 27 Israeli IPOs that were conducted as nondiscriminatory (uniform price) auctions. To the best of our knowledge, this is the first time the whole demand schedule for any asset is described. The demand schedules are relatively flat around the auction clearing price: The average elasticity is 37. The elasticity is low when the return distribution contains a large unique component. We also find a significant average abnormal return of 4.5% on the first trading day and a positive correlation between the abnormal return and the elasticity of demand.

引用

页码：227 / 247

页数：21

共 31 条

[1] SIGNALING BY UNDERPRICING IN THE IPO MARKET [J].