Aitken, Michael; Harris, Frederick H.; McInish, Thomas H.; … - In: International Journal of Managerial Finance 5 (2009) 1, pp. 16-49
Purpose – The purpose of this paper is to investigate the cross‐sectional determinants of the role of the underwriter in aftermarket price discovery. Design/methodology/approach – The paper estimates Gonzalo‐Granger common factor weights across underwriter and non‐underwriter execution...