The determinants of cross-sectional liquidity in the IPO aftermarket
This article examines the determinants of cross-sectional liquidity in the Initial Public Offering (IPO) aftermarket. Previous literature suggests that liquidity trading, information asymmetry, the extent of estimation uncertainty and heterogeneity of opinion are related to share turnover of seasoned stocks, whereas very few papers examine the factors of liquidity of newly listed firms. Because IPO stocks typically experience a volatile trading period following the IPO issuance date, I draw on the literature on trading activities and IPO firms and explore the sources, if any, of IPO liquidity during the period of 1995 through 2005. I also examine IPO attributes, such as the presence of venture capital and the number of underwriters in a syndicate. The results of random effects models suggest that liquidity trading, the mass of informed agents and certain IPO attributes play a role in explaining IPO trading activity. In contrast to previous studies on the trading activity of seasoned stocks, I find that differences of opinion and estimation uncertainty about an IPO firm have little effect on IPO liquidity. My findings contribute to the understanding of determinants of IPO liquidity.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 22 (2012)
Issue (Month): 14 (July)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1161-1173. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.