Evidence on Price Stabilization and Underpricing in Early IPO Returns
基于1982-1983年560只IPO数据，发现首日回报的横截面分布更适合用两个分布混合建模，一个对应抑价，另一个对应价格稳定，且混合分布特征至少持续四周。
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 underpricing and the other with price stabilization. Further, the evidence that early IPO returns are drawn from a mixture distribution persists for at least four weeks. The implications of these results for the analysis of IPO returns are illustrated by examining the influence of a measure of ex ante price uncertainty on IPO pricing.