Abstract

http://ssrn.com/abstract=36140
 
 

References (21)



 
 

Citations (39)



 
 

Footnotes (11)



 


 



The Demand for Stocks: An Analysis of IPO Auctions


Shmuel Kandel (deceased)


Deceased

Oded Sarig


Interdisciplinary Center (IDC) Herzliyah - Arison School of Business; University of Pennsylvania - The Wharton School

Avi Wohl


Tel Aviv University - Faculty of Management

1997


Abstract:     
This paper analyzes a unique data set of IPOs that were conducted as non-discriminatory (i.e., uniform price) auctions. Our data include the full demand schedules for auctioned IPOs conducted in Israel. To the best of our knowledge, this is the first time the whole demand schedule for any asset is described and analyzed. We show that all demand schedules are relatively flat around the auction clearing price: The average demand elasticity at the auction-clearing price is 37. We find that the elasticity of the demand is high when the return distribution of the issued security contains a large systematic component and is low when the return distribution contains a large unique component. We also find a significant average abnormal return of 4.5% on the first trading day and a positive correlation between the first-day abnormal return and the elasticity of demand. We offer an explanation for this phenomena based on the information revealed in the auction.

Number of Pages in PDF File: 25

JEL Classification: G12, G14

working papers series


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Date posted: June 27, 1997  

Suggested Citation

Kandel (deceased), Shmuel and Sarig, Oded and Wohl, Avi, The Demand for Stocks: An Analysis of IPO Auctions (1997). Available at SSRN: http://ssrn.com/abstract=36140 or http://dx.doi.org/10.2139/ssrn.36140

Contact Information

Shmuel Kandel (deceased) (Contact Author)
Deceased
N/A
Oded H. Sarig
Interdisciplinary Center (IDC) Herzliyah - Arison School of Business ( email )
P.O. Box 167
Herzliya, 46150
Israel
University of Pennsylvania - The Wharton School ( email )
3641 Locust Walk
Philadelphia, PA 19104-6365
United States
Avi Wohl
Tel Aviv University - Faculty of Management ( email )
P.O. Box 39010
Ramat Aviv, Tel Aviv, 69978
Israel
+972 3 6409051 (Phone)
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References:  21
Citations:  39
Footnotes:  11

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