Allocations, adverse selection, and cascades in IPOs: evidence from the Tel Aviv Stock Exchange

被引:74
作者
Amihud, Y
Hauser, S
Kirsh, A
机构
[1] NYU, Stern Sch Business, New York, NY 10012 USA
[2] Tel Aviv Univ, Fac Management, IL-69978 Tel Aviv, Israel
[3] Ben Gurion Univ Negev, Sch Management, IL-84105 Beer Sheva, Israel
关键词
IPO; underpricing; uninformed subscribers; proration;
D O I
10.1016/S0304-405X(02)00251-9
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We examine theories of IPO underpricing using unique data from Israel where the allocation to subscribers is by equal proration. This enables us to simulate the return earned by uninformed investors. Consistent with Rock's (1986) theory of adverse selection, allocations were negatively related to underpricing. But uninformed investors earned a negative allocalion-weighted initial return, although the average initial return was 12%. They could break even, however, by using publicly available information. The data also supports Welch's (1992) theory of information cascades: demand is either extremely high or there is undersubscription, with very few cases in between. (C) 2002 Published by Elsevier Science B.V.
引用
收藏
页码:137 / 158
页数:22
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