The Demand for Stocks: An Analysis of IPO Auctions

Posted: 28 Dec 1998

See all articles by Shmuel Kandel (deceased)

Shmuel Kandel (deceased)

Deceased

Oded Sarig

Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship; University of Pennsylvania - The Wharton School

Avi Wohl

Tel Aviv University - Coller School of Management

Multiple version iconThere are 2 versions of this paper

Abstract

We analyze a unique data set that includes the full demand schedules of 27 Israeli IPOs that were conducted as non-discriminatory (uniform price) auctions. To the best of our knowledge, this is the first time the whole demand schedule for any asset is described. The demand schedules are relatively flat around the auction clearing price: The average elasticity is 37. The elasticity 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 abnormal return and the elasticity of demand.

Suggested Citation

Kandel (deceased), Shmuel and Sarig, Oded H. and Wohl, Avi, The Demand for Stocks: An Analysis of IPO Auctions. Review of Financial Studies, Vol. 12, No. 2. Available at SSRN: https://ssrn.com/abstract=140408

Oded H. Sarig (Contact Author)

Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship ( 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 - Coller School of Management ( email )

P.O. Box 39010
Ramat Aviv, Tel Aviv, 69978
Israel
+972 3 6409051 (Phone)

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