An empirical investigation of the speed of information aggregation: A study of IPOs

VAN BOMMEL, Jos; Dahya, Jay; Shi, Zhihong

doi:10.1504/IJBAAF.2010.031575

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Article (Périodiques scientifiques)

An empirical investigation of the speed of information aggregation: A study of IPOs

VAN BOMMEL, Jos; Dahya, Jay; Shi, Zhihong

2010 • In International Journal of Banking, Accounting and Finance, 2 (1), p. 47 - 79

Peer reviewed vérifié par ORBi

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https://hdl.handle.net/10993/58987

DOI
10.1504/IJBAAF.2010.031575

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Détails

Mots-clés :

Information aggregation; Initial public offerings; IPOs; Market microstructure; Volatility; Accounting; Finance; Economics and Econometrics

Résumé :

[en] This paper researches the microstructure of the price process after the IPO, to gain insight into the information aggregation process of secondary market trading. We investigate a sample of 2,040 US IPOs between 1993 and 2000 and find that it takes approximately one week for all IPO-related information to be reflected in the market price. Using a novel methodology to gauge event-time volatility, we attribute this fast information aggregation to the bookbuilding process and to the extraordinary liquidity in the IPO aftermarket. © 2010 Inderscience Enterprises Ltd.

Disciplines :

Finance

Auteur, co-auteur :

VAN BOMMEL, Jos ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Economics and Management (DEM)

Dahya, Jay; Zicklin School of Business, Baruch College, CUNY, New York, NY 10010, United States

Shi, Zhihong; SUNY, Old Westbury, NY 11568-0210, United States

Co-auteurs externes :

Langue du document :

Anglais

Titre :

An empirical investigation of the speed of information aggregation: A study of IPOs

Date de publication/diffusion :

2010

Titre du périodique :

International Journal of Banking, Accounting and Finance

ISSN :

1755-3830

eISSN :

1755-3849

Maison d'édition :

Inderscience Publishers

Volume/Tome :

Fascicule/Saison :

Pagination :

47 - 79

Peer reviewed :

Peer reviewed vérifié par ORBi

Disponible sur ORBilu :

depuis le 20 décembre 2023

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59 (dont 0 Unilu)

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