The Persistence of IPO Mispricing and the Predictive Power of Flipping
研究承销商定价错误与首日交易信息的关系，发现首日表现好的IPO在一年内持续好，首日差的持续差，但“超热”IPO未来表现最差；大额交易者翻转未来表现最差的IPO，低翻转的IPO在第三天后六个月内每月产生1.5%异常收益，且翻转可预测，表明承销商定价错误是故意的。
Abstract This paper examines underwriters' pricing errors and the information content of first‐day trading activity in IPOs. We show that first‐day winners continue to be winners over the first year, and first‐day dogs continue to be relative dogs. Exceptions are “extra‐hot” IPOs, which provide the worst future performance. We also demonstrate that large, supposedly informed, traders “flip” IPOs that perform the worst in the future. IPOs with low flipping generate abnormal returns of 1.5 percentage points per month over the first six months beginning on the third day. We show that flipping is predictable and conclude that underwriters' pricing errors are intentional.