The dark side of IPOs: Examining where and who trades in the IPO secondary market
研究了市场分割、暗流动性和算法交易对IPO二级市场流动性形成的影响，发现暗交易损害流动性，而市场分割和算法交易则改善流动性。
Abstract We analyze the impact of trading dynamics, including fragmentation of markets, undisplayed (dark), and algorithmic trading, on liquidity formation in initial public offerings (IPOs). We find that these various trading dynamics evolve throughout the IPO secondary market and are dependent on the IPO's initial offering‐day underpricing. Higher levels of fragmentation in displayed (lit) markets and algorithmic trading improve market quality in IPOs, while higher levels of undisplayed (dark) trading harm it. Overall, we find that, with the exception of the impact of dark trading, the concerns regarding the impact of fragmented markets and algorithmic trading on IPO liquidity are mostly unwarranted.