Market-Making in Initial Public Offerings of Common Stocks: An Empirical Analysis
分析普通股首次公开发行（IPO）在场外交易市场的买卖价差行为，发现IPO的报价百分比价差平均约为已上市股票的四分之三，且差异持续八周，源于弹性差异和决定因素水平差异。
In this paper, we examine the behavior of the bid-ask spreads of initial public offerings of common stocks (IPOs) in the over-the-counter market. We find that, in the initial aftermarket, the quoted percentage bid-ask spreads for IPOs are, on average, about threefourths as large as those for seasoned stocks. A cross-sectional and time-series simultane? ous equations analysis indicates that significant differences in the IPO and seasoned spreads persist for eight weeks in the aftermarket. Further, we find that the lower IPO spreads stem from their differential elasticities with respect to the determinants of bid-ask spreads and volume as well as from significant differences in the levels of these determi? nants.