Purpose – To test the effects of underpricing and share retention (i.e. the proportion of shares retained by the pre-initial-public-offering (IPO) owners) on IPO aftermarket liquidity. Design/methodology/approach – Uses both percentage spread and turnover ratio to measure liquidity. The...

Purpose – To test the effects of underpricing and share retention (i.e. the proportion of shares retained by the pre‐initial‐public‐offering (IPO) owners) on IPO aftermarket liquidity. Design/methodology/approach – Uses both percentage spread and turnover ratio to measure liquidity....

We investigate the effect of leveraged ETF trading on the trading activity and market quality of their component stocks. The results show that both quoted and effective spreads of component stocks increase about 0.2–3.0 basis points after the inception of leveraged ETFs, while other liquidity...