G. William Schwert

University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research

Journal of Finance, 57 (June 2002) 1171-1200.

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Both IPO volume and average initial returns are highly autocorrelated. Further, more companies tend to go public following periods of high initial returns. However, we find that the level of average initial returns at the time of filing contains no information about that company’s eventual underpricing. Both the cycles in initial returns and the lead-lag relation between initial returns and IPO volume are predominantly driven by information learned during the registration period. More positive information results in higher initial returns and more companies filing IPOs soon thereafter.

Key words: IPO, Underpricing, Cycles, Private Information, Learning

JEL Classifications: G32, G24, G14

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Cited 275 times in the SSCI and SCOPUS through 2020

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© Copyright 2002, American Finance Association

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The following file contains the text, tables, references, and figures for this paper in Acrobat's portable data format (.pdf).

Click here to download the paper in PDF format.

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The samples used in this paper are available in several formats:

[if you use these data for purposes of publication, please cite the source of the data]

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• Monthly Data:
  1. an Excel spreadsheet here. This file is about 89K.

  2. an Excel spreadsheet compressed as a ZIP file here. This file is about 30K.

  The layout of this file is illustrated in a PDF file here.

Note: The original source for the Ibbotson-Sindelar-Ritter data, 1960-2000, is here.

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• Firm/deal Data:
  1. an Excel spreadsheet here. This file is about 947K.

  2. an Excel spreadsheet compressed as a ZIP file here. This file is about 363K.

  The layout of this file is illustrated in a PDF file here.

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Last Updated on 6/10/2021