IPO Market Cycles:
Bubbles or Sequential Learning?
Drexel University, Philadelphia, PA 19104
G. William Schwert
University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research
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.
Key words: IPO, Underpricing, Cycles, Private Information, Learning
JEL Classifications: G32, G24, G14
Cited 221 times in the SSCI and SCOPUS through 2017
© Copyright 2002, American Finance Association
The following file contains the text, tables, references, and figures for this paper in Acrobat's portable data format (.pdf). The file is about 135K. The files can only be viewed (and printed) using a copy of Acrobat Reader or Acrobat Exchange.
If you want the current version of the Adobe Acrobat Reader for other
platforms, visit Adobe's web page by clicking the image below.
Click here to download the paper
in PDF format.
The samples used in this paper are available in several formats:
[if you use these data for purposes of publication, please cite the source of the data]
Note: The original source for the Ibbotson-Sindelar-Ritter data, 1960-2000, is
Return to Publications Page
© Copyright 1997-2018, Michelle Lowry and G. William
Last Updated on 7/31/2018