Bommel, Jos Van; Dahya, Jay; Shi, Zhihong - In: International Journal of Banking, Accounting and Finance 2 (2010) 1, pp. 47-79
This paper researches the microstructure of the price process after the IPO, to gain insight into the information aggregation process of secondary market trading. We investigate a sample of 2,040 US IPOs between 1993 and 2000 and find that it takes approximately one week for all IPO-related...