An Empirical Enquiry into the Speed of Information Aggregation : A Study of Ipos

This paper investigates how long it takes until dispersed information on the valuation of IPO-firms is incorporated in secondary market prices, and how the speed of information aggregation relates to market microstructure and IPO characteristics. We find that it takes one week for all IPO-related information to be reflected in the market price for 2,511 IPOs in the U.S. Using a novel methodology to gauge event-time volatility, we attribute the quick aggregation of information to bookbuilding and liquidity in the secondary market. Our results contrast with Ellul and Pagano (2005) who report slower information aggregation in U.K. fixed price IPOs