IPO Market Cycles: Bubbles or Sequential Learning?

Posted: 29 Nov 2003

See all articles by Michelle Lowry

Michelle Lowry

Drexel University

G. William Schwert

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

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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.

Suggested Citation

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

Michelle B. Lowry

Drexel University ( email )

Philadelphia, PA 19104
United States
215-895-6070 (Phone)

G. William Schwert (Contact Author)

University of Rochester - Simon Business 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)

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Cambridge, MA 02138
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