IPO Market Cycles: Bubbles or Sequential Learning?

Michelle Lowry

Drexel University

G. William Schwert

University of Rochester - Simon School; National Bureau of Economic Research (NBER)

Journal of Finance, Vol. 57, pp. 1171-1200, 2002

Both IPO volume and average initial returns are highly autocorrelated. Further, more companies tend to go public following periods of high initial returns. However, we find that the level of average initial returns at the time of filing contains no information about that company's eventual underpricing. Both the cycles in initial returns and the lead-lag relation between initial returns and IPO volume are predominantly driven by information learned during the registration period. More positive information results in higher initial returns and more companies filing IPOs soon thereafter.

Accepted Paper Series

Not Available For Download

Date posted: November 29, 2003  

Suggested Citation

Lowry, Michelle and Schwert, G. William, IPO Market Cycles: Bubbles or Sequential Learning?. Journal of Finance, Vol. 57, pp. 1171-1200, 2002. Available at SSRN: http://ssrn.com/abstract=313476

Contact Information

Michelle B. Lowry
Drexel University ( email )
Philadelphia, PA 19104
United States
215-895-6070 (Phone)
G. William Schwert (Contact Author)
University of Rochester - Simon School ( email )
Carol Simon Hall 3-110L
Rochester, NY 14627
United States
585-275-2470 (Phone)
585-461-5475 (Fax)
HOME PAGE: http://schwert.ssb.rochester.edu
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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