Derrien (2005) and Ljungqvist, Nanda, and Singh (2003) build upon the work of Miller (1977) and claim that issuers and the regular customers of investment bankers benefit from the presence of sentiment investors (noise traders) in the market for an IPO. Thus we argue that investment bankers have...

Using several different methodologies, we quantify the statistical robustness of variables used in prior research to explain initial IPO returns. We establish a parsimonious list of robust variables and evaluate their implications for different theories of IPO underpricing and clustering....

Using data on 560 firm-commitment initial public offerings of common stock for the 1982-1983 period, we find that the cross-sectional distribution of one-day returns is modeled better as a mixture of two distributions, with the parameter estimates of one distribution being consistent with...

We examine the initial shareholdings taken by bidders prior to making tender offer bids ('toeholds') in order to test predictions of selected models of tender offers. Our data suggest a significantly negative relationship between first bidder premia and toeholds, which is consistent with the...

This paper examines empirically the effect of SEC registration and reporting requirements on information asymmetry. We compare the adverse-selection component of the bid-ask spread our measure of information asymmetry for three samples of companies listed on NASDAQ that are subject to different...

We apply Lo's (Econometrica, 1991, 59, 1279-1313) modified R/S test to the returns series of 1,952 ordinary common stocks. We use asymptotic and bootstrapped critical values to evaluate the significance of the test statistics, which are computed for several different fixed and sample-size...