The Information Advantage of Underwriters in IPOs
利用簿记式IPO中交易商层面的独特数据，发现主承销商交易与后续异常回报显著相关，尤其在信息不对称高或投资者情绪强的IPO中，而其他承销团成员无此关系，支持承销商利用信息优势交易的假说。
Using a unique data set of dealer-level trading data in bookbuilding initial public offerings (IPOs), we find strong evidence that lead underwriter trades in IPO firms are significantly related to subsequent IPO abnormal returns. This relation is concentrated among issues in which underwriters’ information advantage is likely greater, specifically among IPOs with higher information asymmetry or subject to higher investor sentiment and among underwriters with the most industry experience. In contrast, we find no similar relation for trades by other syndicate members, who are not involved in due diligence or pricing, or around auction IPOs, which are characterized by less underwriter involvement. Our results are consistent with the joint hypothesis that underwriters of bookbuilding IPOs gain unique insight into the values of these client firms and that they trade on this information advantage. This paper was accepted by Gustavo Manso, finance.