Ipo Post-Issue Markets: Questionable Predilections But Diligent Learners?
There appear to be no anomalies in the aftermarket of a sample of 4,848 U.S. IPOs over the period 1975 to 1995, except issues offered below $6. Risk is priced in the aftermarket in accordance with Rubinstein's asset-pricing model. Unlike under the efficient markets hypothesis (EMH), however, market priors about the probability of future default are not unbiased at the IPO date. Still, subsequent learning is rational: the market uses Bayes' law with a correct-likelihood function (of news given the eventual fate of an issue). That is, the hypothesis of an efficiently learning market (ELM) cannot be rejected. We produce direct evidence in support of these statements, based on a new class of tests. We also provide indirect evidence, by documenting a gradual convergence of IPO prices towards EMH as issues mature. © 2001 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology
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): 83 (2001)
Issue (Month): 2 (May)
|Contact details of provider:|| Web page: http://mitpress.mit.edu/journals/|
|Order Information:||Web: http://mitpress.mit.edu/journal-home.tcl?issn=00346535|
When requesting a correction, please mention this item's handle: RePEc:tpr:restat:v:83:y:2001:i:2:p:333-347. 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: (Anna Pollock-Nelson)
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.