The Variability of IPO Initial Returns

Journal of Finance

Volumn 65, Issue 2, 2010, Pages 425-465

  Lowry, Michelle ^a   Officer, Micah S ^b   Schwert, G William ^c  

^a PENNSYLVANIA STATE UNIVERSITY   (United States)

^b LOYOLA MARYMOUNT UNIVERSITY   (United States)

^c UNIVERSITY OF ROCHESTER   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77952561029     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2009.01540.x     Document Type: Article

References (53)

1. Beatty Randolph, Ritter Jay. Investment banking, reputation, and the underpricing of initial public offerings. Journal of Financial Economics 1986, 15:213-232.
2. Benveniste Lawrence M, Spindt Paul A. How investment bankers determine the offer price and allocation of new issues. Journal of Financial Economics 1989, 24:343-362.
3. Bessembinder Hendrik, Chan Kalok, Seguin Paul J. An empirical examination of information, differences of opinion, and trading activity. Journal of Financial Economics 1996, 40:105-134.
4. Box George E P, Jenkins Gwilym M. Time Series Analysis: Forecasting and Control 1976, rev. ed., Holden-Day, San Francisco
5. Campbell John Y, Lettau Martin, Malkiel Burton G, Xu Yexiao. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance 2001, 56:1-43.
6. Carter Richard B, Dark Frederick H, Singh Ajay K. Underwriter reputation, initial returns, and the long-run performance of IPO stocks. Journal of Finance 1998, 53:285-311.
7. Carter Richard B, Manaster Steven. Initial public offering and underwriter reputation. Journal of Finance 1990, 45:1045-1067.
8. Clark Peter K. A subordinated stochastic process model with finite variance for speculative prices. Econometrica 1973, 41:135-155.
9. Cooney John W, Singh Ajai K, Carter Richard B, Dark Frederick H. IPO initial returns and underwriter reputation: Has the relationship flipped in the 1990s. 2001, Working paper, Texas Tech
10. Degeorge Franthomampersa, Derrien Franthomampersa, Womack Kent L. Analyst hype in IPOs: Explaining the popularity of bookbuilding. Review of Financial Studies 2007, 20:1021-1058.
11. Degeorge Franthomampersa, Derrien Franthomampersa, Womack Kent L. Auctioned IPOs: The U.S. evidence. Journal of Financial Economics 2010, forthcoming
12. Derrien Franthomampersa, Womack Kent L. Auctions vs. bookbuilding and the control of underpricing in hot IPO markets. Review of Financial Studies 2003, 16:31-61.
13. Downes David H, Heinkel Robert. Signaling and the valuation of unseasoned new issues. Journal of Finance 1982, 37:1-10.
14. Edelen Roger, Kadlec Greg. Comparable-firm returns, issuer surplus, and the pricing and withdrawal of IPOs. Journal of Financial Economics 2005, 77:347-373.
15. Engle Robert F. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 1982, 50:987-1007.
16. Field Laura C, Karpoff Jonathon. Takeover defenses of IPO firms. Journal of Finance 2002, 57:1857-1889.
17. Greene William H. Econometric Analysis 1993, Second edition, Prentice Hall, New York
18. Gu Zhaoyang, Wu Joanna Shuang. Earnings skewness and analyst forecast bias. Journal of Accounting and Economics 2003, 35:5-29.
19. Hanley Kathleen Weiss. The underpricing of initial public offerings and the partial adjustment phenomenon. Journal of Financial Economics 1993, 34:231-250.
20. Hanley Kathleen Weiss, Kumar A, Seguin Paul. Price stabilization in the market for new issues. Journal of Financial Economics 1993, 34:177-197.
21. Houston Joel, James Christopher, Karceski Jason. What a difference a month makes: Stock analyst valuations following initial public offerings. Journal of Financial and Quantitative Analysis 2006, 41:111-137.
22. Ibbotson Roger G, Jaffe Jeffrey F. " Hot issue" markets. Journal of Finance 1975, 30:1027-1042.
23. Ibbotson Roger G, Sindelar Jody L, Ritter Jay R. Initial public offerings. Journal of Applied Corporate Finance 1988, 1:37-45.
24. Ibbotson Roger G, Sindelar Jody L, Ritter Jay R. The market's problems with the pricing of initial public offerings. Journal of Applied Corporate Finance 1994, 7:66-74.
25. Jagannathan Ravi, Sherman Ann E. Reforming the bookbuilding process for IPOs. Journal of Applied Corporate Finance 2005, 17:67-72.
26. Jagannathan Ravi, Sherman Ann E. Why do IPO auctions fail. 2006, Working paper, Northwestern University and University of Notre Dame
27. Krigman Laurie, Shaw Wayne, Womack Kent L. Why do firms switch underwriters. Journal of Financial Economics 2001, 60:245-284.
28. Ljung Greta, Box George E P. On a measure of lack of fit in time series models. Biometrika 1979, 66:265-270.
29. Ljungqvist Alexander P, Wilhelm William J. IPO pricing in the dot-com bubble. Journal of Finance 2003, 58:723-752.
30. Loughran Tim, Ritter Jay R. Why don't issuers get upset about leaving money on the table in IPOs. Review of Financial Studies 2002, 15:413-443.
31. Loughran Tim, Ritter Jay R. Why has IPO underpricing changed over time. Financial Management 2004, 33:5-37.
32. Lowry Michelle. Why does IPO volume fluctuate so much. Journal of Financial Economics 2003, 67:3-40.
33. Lowry Michelle, Murphy Kevin J. Executive stock options and IPO underpricing. Journal of Financial Economics 2007, 85:39-65.
34. Lowry Michelle, Schwert G William. IPO market cycles: Bubbles or sequential learning. Journal of Finance 2002, 57:1171-1200.
35. Lowry Michelle, Schwert G William. Is the IPO pricing process efficient. Journal of Financial Economics 2004, 71:3-26.
36. Michaely Roni, Shaw Wayne. The pricing of initial public offerings: Tests of adverse selection and signaling theories. Review of Financial Studies 1994, 7:279-319.
37. Nelson Daniel B. Conditional heteroskedasticity in asset returns: A new approach. Econometrica 1991, 59:347-370.
38. Pástor Lubos, Taylor Lucian A, Veronesi Pietro. Entrepreneurial learning, the IPO decision, and the post-IPO drop in firm profitability. Review of Financial Studies 2009, 22:3005-3046.
39. Pástor Lubos, Veronesi Pietro. Rational IPO waves. Journal of Finance 2005, 58:1749-1789.
40. Ritter Jay R. The " hot issue" market of 1980. Journal of Business 1984a, 57:215-240.
41. Ritter Jay R. Signaling and the valuation of unseasoned new issues: A comment. Journal of Finance 1984b, 39:1231-1237.
42. Ritter Jay R. The long run performance of initial public offerings. Journal of Finance 1991, 46:3-28.
43. Rock Kevin. Why new issues are underpriced. Journal of Financial Economics 1986, 15:187-212.
44. Rosenbaum Paul R, Rubin Donald B. The central role of the propensity score in observational studies for causal effects. Biometrika 1983, 70:41-55.
45. Ruud Judith. Underwriter price support and the IPO underpricing puzzle. Journal of Financial Economics 1993, 34:135-151.
46. Schwert G William. Effects of model specification on tests for unit roots in macroeconomic data. Journal of Monetary Economics 1987, 20:73-103.
47. Schwert G William. Why does stock market volatility change over time. Journal of Finance 1989, 44:1115-1153.
48. Schwert G William. Stock volatility in the new millennium: How wacky is NASDAQ. Journal of Monetary Economics 2002, 49:3-26.
49. Sherman Ann E. Global trends in IPO methods: Book building versus auctions with endogenous entry. Journal of Financial Economics 2005, 78:615-649.
50. Sherman Ann E, Titman Sheridan. Building the IPO order book: Underpricing and participation limits with costly information. Journal of Financial Economics 2002, 65:3-29.
51. Stivers Christopher T. Firm-level return dispersion and the future volatility of aggregate stock market returns. Journal of Financial Markets 2003, 6:389-411.
52. Welch Ivo. Sequential sales, learning, and cascades. Journal of Finance 1992, 47:695-732.
53. White Halbert. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 1980, 48:817-838.