The Development of Secondary Market Liquidity for NYSE-Listed IPOs

Shane A. Corwin, Jeffrey H. Harris, Marc L. Lipson
2002 Social Science Research Network  
For NYSE-listed IPOs, limit order submissions and depth relative to volume are unusually low on the first trading day. Initial buy-side liquidity is higher for IPOs with high-quality underwriters, large syndicates, low insider sales, and high premarket demand, while sell-side liquidity is higher for IPOs that represent a large fraction of outstanding shares and have low premarket demand. Our results suggest that uncertainty and offer design affect initial liquidity, though order f low
more » ... der f low stabilizes quickly. We also find that submission strategies are inf luenced by expected underwriter stabilization and preopening order f low contains information about both initial prices and subsequent returns.
doi:10.2139/ssrn.301092 fatcat:l4oq3xpibjdopn44dav4c6ruh4