IPO Underpricing and Aftermarket Price Accuracy: Auctions vs. Bookbuilding in Japan
Series
Working Papers in Finance
Type
working paper
Date Issued
2021-01-06
Author(s)
Abstract
We analyse a regulatory change in the Japanese IPO market that created an abrupt shift from hybrid price-discriminatory auctions to bookbuilding. We find that bookbuilding leads to significantly higher underpricing than hybrid price-discriminatory auctions. Further, we find evidence that price accuracy tends to be higher for auctions than for bookbuilding. The results hold under a variety of OLS specifications and with regression discontinuity designs exploiting the abrupt change of the regulation. The results suggest that the interests of issuers and underwriters are not aligned. The popularity of bookbuilding seems puzzling from this perspective.
Language
English
HSG Classification
contribution to scientific community
HSG Profile Area
SOF - System-wide Risk in the Financial System
Number
2021/02
Contact Email Address
matthias.weber@unisg.ch
Eprints ID
261941
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Name
SoF_WP_21_02_Lehmann_Weber_IPO Underpricing and Aftermarket Price Accuracy.pdf
Size
1.41 MB
Format
Adobe PDF
Checksum (MD5)
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