Primary market characteristics and secondary market frictions of stocks

Rodney Boehme, Gonul Colak

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

15 Citeringar (Scopus)


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.
Referentgranskad vetenskaplig tidskriftJournal of Financial Markets
Sidor (från-till)286-327
Antal sidor42
StatusPublicerad - 01.05.2012
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift


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