The Variability of IPO Initial Returns

被引:198
作者
Lowry, Michelle [1 ]
Officer, Micah S. [2 ]
Schwert, G. William [3 ,4 ]
机构
[1] Penn State Univ, University Pk, PA 16802 USA
[2] Loyola Marymount Univ, Los Angeles, CA 90045 USA
[3] Univ Rochester, Rochester, NY 14627 USA
[4] NBER, Cambridge, MA 02138 USA
关键词
LONG-RUN PERFORMANCE; PUBLIC OFFERINGS; PARTIAL ADJUSTMENT; MARKET; VOLATILITY; PRICE; HETEROSKEDASTICITY; REPUTATION; VALUATION; VARIANCE;
D O I
10.1111/j.1540-6261.2009.01540.x
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The monthly volatility of IPO initial returns is substantial, fluctuates dramatically over time, and is considerably larger during "hot" IPO markets. Consistent with IPO theory, the volatility of initial returns is higher for firms that are more difficult to value because of higher information asymmetry. Our findings highlight underwriters' difficulty in valuing companies characterized by high uncertainty, and raise serious questions about the efficacy of the traditional firm-commitment IPO process. One implication of our results is that alternate mechanisms, such as auctions, could be beneficial for firms that value price discovery over the auxiliary services provided by underwriters.
引用
收藏
页码:425 / 465
页数:41
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