Is Ipo Underperformance a Peso Problem?
研究1970年后IPO表现不佳是否源于小样本偏差（比索问题），通过模型估计发现小样本效应极不可能解释实际观察到的IPO表现不佳程度。
Abstract Recent studies suggest that the underperformance of IPOs in the post-1970 sample may be a small sample effect or “Peso problem.” That is, IPO underperformance may result from observing too few star performers ex post than were expected ex ante. We develop a model of IPO performance that captures this intuition by allowing returns to be drawn from mixtures of outstanding, benchmark, or poor performing states. We estimate the model under the null of no ex ante average IPO underperformance and construct small sample distributions of various statistics measuring IPO relative performance. We find that small sample biases are extremely unlikely to account for the magnitude of the post-1970 IPO underperformance observed in data.