Primary market characteristics and secondary market frictions of stocks

Rodney Boehme, Gonul Colak

Forskningsoutput: TidskriftsbidragArtikelPeer review

11 Citeringar (Scopus)

Sammanfattning

We analyze the primary market characteristics and the secondary market trading frictions of new stocks. IPOs issued in hot markets, with low offer price, low-reputation underwriters or no VC backing face higher liquidity frictions, higher information constraints, and worse short-sale constraints. Underpriced IPOs are more liquid and more recognizable, but they have higher idiosyncratic risk and higher short-sale constraints. Also, we find an interesting time trend in the evolution of the new stocks' trading frictions: the mean-reversion of an average IPO stock toward a typical seasoned stock takes more than a few years. We propose a quality-based explanation for these findings.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftJournal of Financial Markets
Volym15
Utgåva2
Sidor (från-till)286-327
Antal sidor42
ISSN1386-4181
DOI
StatusPublicerad - 01.05.2012
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

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  • 512 Företagsekonomi

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