Bhattacharya, Arnab; Chakrabarti, Binay Bhushan - In: International Journal of Economic Sciences 2014 (2014) 3, pp. 01-49
Using Volume-synchronized Probability of Informed trading (VPIN), we examine the evolution of ex-post adverse selection risk in the IPO aftermarket of a sample of 70 Indian firms. We find that adverse selection risk is highest on IPO listing day, and gradually reduces over the subsequent weeks....