Conditional Price Trends in the Aftermarket for Initial Public Offerings
发现IPO短期风险调整后收益与初始错误定价方向一致：初始折价股在首月（首三月）平均跑赢同类公司2.46%（6.40%），而溢价股则跑输4.42%（1.31%）；随后两组均出现长期负异常收益，且该条件性趋势无法被承销商价格稳定行为充分解释。
We document that the risk-adjusted returns on initial public offerings (IPOs) in the short-term aftermarket are in the same direction as their initial mispricing. The initially underpriced issues earn 2.46% (6.40%) more, on average, than similar sized firms over the first month (first three months) of trading. In contrast, overpriced IPOs underperform size-matched firms, on average, by 4.42% (1.31%) over a similar period. Subsequently, both groups of IPOs earn similar negative abnormal returns, which is consistent with the long-term underperformance of IPOs reported in previous studies. Further scrutiny indicates that the observed condition price trends cannot be satisfactorily explained by underwriter price stabilization.