The Development of Secondary Market Liquidity for NYSE‐Listed IPOs
研究纽交所上市IPO首日流动性异常低的原因，发现承销商质量、内部人出售、发行规模等因素影响买卖双方流动性，订单流很快稳定且预开盘订单流包含价格信息。
ABSTRACT For NYSE‐listed IPOs, limit order submissions and depth relative to volume are unusually low on the first trading day. Initial buy‐side liquidity is higher for IPOs with high‐quality underwriters, large syndicates, low insider sales, and high premarket demand, while sell‐side liquidity is higher for IPOs that represent a large fraction of outstanding shares and have low premarket demand. Our results suggest that uncertainty and offer design affect initial liquidity, though order flow stabilizes quickly. We also find that submission strategies are influenced by expected underwriter stabilization and preopening order flow contains information about both initial prices and subsequent returns.