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IPO Market Cycles: Bubbles or Sequential Learning?
Author(s) -
Lowry Michelle,
Schwert G. William
Publication year - 2002
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/1540-6261.00458
Subject(s) - initial public offering , business , autocorrelation , monetary economics , lag , volume (thermodynamics) , econometrics , economics , financial economics , mathematics , statistics , computer science , computer network , physics , quantum mechanics
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.