Purpose – The purpose of this paper is to investigate the cross-sectional determinants of the role of the underwriter in aftermarket price discovery. Design/methodology/approach – The paper estimates Gonzalo-Granger common factor weights across underwriter and non-underwriter execution...

Purpose – The purpose of this paper is to investigate the cross‐sectional determinants of the role of the underwriter in aftermarket price discovery. Design/methodology/approach – The paper estimates Gonzalo‐Granger common factor weights across underwriter and non‐underwriter execution...