The Development of Secondary Market Liquidity for Nyse-Listed Ipos

45 Pages Posted: 23 Feb 2002

See all articles by Shane A. Corwin

Shane A. Corwin

University of Notre Dame - Mendoza College of Business

Jeffrey H. Harris

American University - Department of Finance and Real Estate

Marc L. Lipson

University of Virginia - Darden School of Business

Date Written: January 2002

Abstract

For NYSE-listed IPOs, limit order submissions and depth relative to volume are unusually low on the first trading day. Initial buy-side liquidity is higher for IPOs with high quality underwriters, large syndicates, low insider sales, and high pre-market demand, while sell-side liquidity is higher for IPOs that represent a large fraction of outstanding shares and have low pre-market demand. Our results suggest that uncertainty and offer design affect initial liquidity, though order flow stabilizes quickly. We also find that submission strategies are influenced by expected underwriter stabilization and pre-opening order flow contains information about both initial prices and subsequent returns.

Keywords: IPO, secondary market, liquidity, limit orders, stabilization

Suggested Citation

Corwin, Shane A. and Harris, Jeffrey H. and Lipson, Marc Lars, The Development of Secondary Market Liquidity for Nyse-Listed Ipos (January 2002). Available at SSRN: https://ssrn.com/abstract=301092 or http://dx.doi.org/10.2139/ssrn.301092

Shane A. Corwin (Contact Author)

University of Notre Dame - Mendoza College of Business ( email )

240 Mendoza College of Business
Notre Dame, IN 46556-0399
United States

Jeffrey H. Harris

American University - Department of Finance and Real Estate ( email )

Kogod School of Business
4400 Massachusetts Ave., N.W.
Washington, DC 20016-8044
United States
202-885-6669 (Phone)

Marc Lars Lipson

University of Virginia - Darden School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-924-4837 (Phone)
434-243-5021 (Fax)

HOME PAGE: http://www.darden.virginia.edu/faculty/lipson.htm

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