Boehme, Rodney and Colak, Gönül (2012) Primary market characteristics and secondary market frictions of stocks. Journal of Financial Markets, 15 (2). pp. 286-327. ISSN 1386-4181

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Abstract

We analyze the primary market characteristics and the secondary market trading frictions of new stocks. IPOs issued in hot markets, with low offer price, low-reputation underwriters or no VC backing face higher liquidity frictions, higher information constraints, and worse short-sale constraints. Underpriced IPOs are more liquid and more recognizable, but they have higher idiosyncratic risk and higher short-sale constraints. Also, we find an interesting time trend in the evolution of the new stocks' trading frictions: the mean-reversion of an average IPO stock toward a typical seasoned stock takes more than a few years. We propose a quality-based explanation for these findings.

Item Type:	Article
Schools and Departments:	University of Sussex Business School > Accounting and Finance
SWORD Depositor:	Mx Elements Account
Depositing User:	Mx Elements Account
Date Deposited:	22 Feb 2022 11:03
Last Modified:	22 Feb 2022 11:15
URI:	http://sro.sussex.ac.uk/id/eprint/104501

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