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1、ARTICLEINPRESSJournalofFinancialEconomics71(2004)3–26$IstheIPOpricingprocessefficient?a,b,cMichelleLowry*,G.WilliamSchwertaSmealCollegeofBusiness,PennsylvaniaStateUniversity,UniversityPark,PA16802,USAbUniversityofRochester,Rochester,NY14627,USAcNationalBureauofEconomicResearch,USAReceived24
2、July2001;accepted21March2003AbstractThispaperinvestigatesunderwriters’treatmentofpublicinformationthroughouttheIPOpricingprocess.Twokeyfindingsemerge.First,publicinformationisnotfullyincorporatedintotheinitialpricerange.Whiletheeconomicmagnitudeofthebiasissmall,itispuzzlingbecauseitisnotcle
3、arwhobenefitsfromit.Further,itindicatesthatthefilingrangemidpointisnotanunbiasedpredictoroftheofferprice,aspriorliteraturehasassumed.Second,whilepublicinformationissimilarlynotfullyincorporatedintothefinalofferprice,thesmalleconomicsignificanceofthisrelationindicatesthattheIPOpricingprocessisa
4、lmostefficient.r2003ElsevierB.V.Allrightsreserved.JELclassification:G32;G24;G14Keywords:IPO;Underpricing;Privateinformation;Learning;Marketefficiency1.IntroductionThepricingofinitialpublicofferings(IPOs)isoneofthemorepuzzlingphenomenainfinance.Itseemsthatunderwritersdonotfullyincorporateall$Th
5、eBradleyPolicyResearchCenter,WilliamE.SimonGraduateSchoolofBusinessAdministration,UniversityofRochester,providedsupportforthisresearch.WeareindebtedtoJayRitterfortheuseofhisdata.WereceivedhelpfulsuggestionsfromHarryDeAngelo,CraigDunbar,B.EspenEckbo,JeanHelwege,TimLoughran,AlexanderLjungqvi
6、st,VojislavMaksimovic,JayRitter,ReneStulz(theeditor),!JeroldWarner,IvoWelch,BillWilhelm,JaniceWillett,JeroldZimmerman,twoanonymousreferees,andseminarparticipantsattheUniversityofRochesterandattheConferenceonEntrepreneurship,VentureCapital,andIPOsatYaleUniversity.Theviewsexpressedhereinaret
7、hoseoftheauthorsanddonotnecessarilyreflecttheviewsoftheNationalBureauofEconomicResearch.*Correspondingauthor.E-mailaddress:mlowry@psu.edu(M.Lowry).0304-405X/$-seefrontmatterr2003ElsevierB.V.Allrightsreserved.doi:10.1016/S0304-405X(03)00205-8ARTICLEINPRESS4M.Low
