An empirical investigation of the speed of information aggregation: a study of IPOs
by Jos Van Bommel, Jay Dahya, Zhihong Shi
International Journal of Banking, Accounting and Finance (IJBAAF), Vol. 2, No. 1, 2010

Abstract: This paper researches the microstructure of the price process after the IPO, to gain insight into the information aggregation process of secondary market trading. We investigate a sample of 2,040 US IPOs between 1993 and 2000 and find that it takes approximately one week for all IPO-related information to be reflected in the market price. Using a novel methodology to gauge event-time volatility, we attribute this fast information aggregation to the bookbuilding process and to the extraordinary liquidity in the IPO aftermarket.

Online publication date: Thu, 11-Feb-2010

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