Does the Effect of Revealed Private Information on Initial Public Offering (IPO) First Trading Day Return Differ by IPO Market Heat?
Keefe, M.O.,‘Does the effect of revealed private information on initial public offering (IPO) first trading day return differ by IPO market heat?’, Accounting and Finance, Forthcoming
50 Pages Posted: 15 Jan 2009 Last revised: 6 Mar 2014
Date Written: November 28, 2012
By IPO market regime, I decompose the effect of revealed private information on the initial return of IPOs (Initial Public Offerings) into adjusted and unadjusted private information and find: (i) investment banks partially adjust the offer price in return for revealed private information in all but the non-hot IPO market; (ii) the economic importance of private information associated with IPOs (and hence agency costs) is procyclical; and (iii) industry information spillovers between IPOs occur only in the hot and very-hot IPO markets.
Keywords: Initial Public Offering, First Day Returns, Partial Adjustment, Valid Instruments
JEL Classification: G24, G12
Suggested Citation: Suggested Citation