An Empirical Enquiry into the Speed of Information Aggregation: A Study of Ipos
43 Pages Posted: 2 Sep 2005
Date Written: February 2006
Abstract
This paper investigates how long it takes until dispersed information on the valuation of IPO-firms is incorporated in secondary market prices, and how the speed of information aggregation relates to market microstructure and IPO characteristics. We find that it takes one week for all IPO-related information to be reflected in the market price for 2,511 IPOs in the U.S. Using a novel methodology to gauge event-time volatility, we attribute the quick aggregation of information to bookbuilding and liquidity in the secondary market. Our results contrast with Ellul and Pagano (2005) who report slower information aggregation in U.K. fixed price IPOs.
Keywords: IPOs, market microstructure, information aggregation
JEL Classification: G14, G39
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Why Has IPO Underpricing Changed Over Time?
By Tim Loughran and Jay R. Ritter
-
Why Has IPO Underpricing Changed Over Time?
By Tim Loughran and Jay R. Ritter
-
A Review of IPO Activity, Pricing and Allocations
By Jay R. Ritter and Ivo Welch
-
A Review of IPO Activity, Pricing, and Allocations
By Ivo Welch and Jay R. Ritter
-
Why Don't Issuers Get Upset About Leaving Money on the Table in Ipos?
By Tim Loughran and Jay R. Ritter
-
Underpricing and Entrepreneurial Wealth Losses in Ipos: Theory and Evidence
-
Common Stock Offerings Across the Business Cycle: Theory and Evidence
By Hyuk Choe, Ronald W. Masulis, ...
-
IPO Market Cycles: Bubbles or Sequential Learning?
By Michelle Lowry and G. William Schwert
-
IPO Market Cycles: Bubbles or Sequential Learning?
By Michelle Lowry and G. William Schwert