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The day of the week effect in IPO initial returns

Listed author(s):
  • Jones, Travis L.
  • Ligon, James A.
Registered author(s):

    Monday IPOs occur infrequently and have higher mean initial returns than those issued on other days. The latter result is not a product of outliers or penny stocks and remains after controlling for factors related to IPO underpricing. The Monday effect is generally robust across time, but during 1995-2003 is present only in IPOs with their first reported trade on their offer date. Volume patterns suggest Monday IPOs come to market later in the day, which has been linked to higher initial returns. We argue that the observed patterns are consistent with the incentives of underwriters and investors.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1062-9769(07)00049-X
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 49 (2009)
    Issue (Month): 1 (February)
    Pages: 110-127

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    Handle: RePEc:eee:quaeco:v:49:y:2009:i:1:p:110-127
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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