کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085320 | 1477941 | 2010 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Price clustering and underpricing in the IPO aftermarket
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This is the first paper to systematically investigate price clustering in new equity assets using a high frequency transactions dataset. We test the hypotheses that past price information and market maker activities are related to price clustering. We report that price clustering in IPOs is substantially greater than the clustering observed for non-IPO assets, which supports the hypothesis that the decision of going public is followed by haziness about the true price. Underpricing is a significant determinant of price clustering for order-book trades, which supports the notion that underpriced IPOs partially reflect price uncertainties. Tick size specifications can be restrictive for individual investors, while giving execution priority to market makers. The characteristics of price clustering for off-book trades differ substantially to price clustering in the order-book.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 19, Issue 2, March 2010, Pages 89-97
Journal: International Review of Financial Analysis - Volume 19, Issue 2, March 2010, Pages 89-97
نویسندگان
Owain ap Gwilym, Thanos Verousis,