G. William Schwert

University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research

Journal of Financial Economics 71 (January 2004) 3-26

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This paper investigates underwriters' treatment of public information throughout the IPO pricing process. Two key findings emerge. First, public information is not fully incorporated into the initial price range. While the economic magnitude of the bias is small, it is puzzling because it is not clear who benefits from it. Further, it indicates that the filing range midpoint is not an unbiased predictor of the offer price, as prior literature has assumed. Second, while public information is similarly not fully incorporated into the offer price, the small economic significance of this relation indicates that the IPO pricing process is almost efficient.

Key words: IPO, Underpricing, Private Information, Learning, Market Efficiency

JEL Classifications: G32, G24, G14

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Click here to download the paper in PDF format.

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The samples used in this paper are available in several formats:

[if you use these data for purposes of publication, please cite the source of the data]

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• Firm/deal Data:
  1. an Excel spreadsheet here. This file is about 947K.

  2. an Excel spreadsheet compressed as a ZIP file here. This file is about 363K.

  The layout of this file is illustrated in a PDF file here.

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