The Efficient IPO Market Hypothesis: Theory and Evidence
推导了信息摩擦市场中最优承销方法和IPO定价规则，发现该规则能解释IPO平均初始回报的时序和截面变化，支持IPO市场有效假说。
We derive the optimal underwriting method and the quantitative initial public offering (IPO) pricing rule that this method implies in a market with informational frictions consisting of fully rational banks, issuers, and investors. In an efficient IPO market, an issuer’s expected initial return will be determined entirely by the combination of this pricing rule and issuer fundamentals. Applying this rule, we find that we can explain the quantitative magnitude of the principal aspects of the time-series and cross-sectional variation in IPO average initial returns. We conclude that the IPO market is efficient.