Auctions versus book-built IPOs in Japan: A comparison of aftermarket volatility

Pettway, RH; Thosar, S; Walker, S

Auctions versus book-built IPOs in Japan: A comparison of aftermarket volatility

Pettway, RH Thosar, S Walker, S

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Publication Type:: Journal Article
Citation:: Pacific Basin Finance Journal, 2008, 16 (3), pp. 224 - 235
Issue Date:: 2008-06-01

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Field	Value	Language
dc.contributor.author	Pettway, RH	en_US
dc.contributor.author	Thosar, S	en_US
dc.contributor.author	Walker, S https://orcid.org/0000-0002-7130-6520	en_US
dc.date.issued	2008-06-01	en_US
dc.identifier.citation	Pacific Basin Finance Journal, 2008, 16 (3), pp. 224 - 235	en_US
dc.identifier.issn	0927-538X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10028
dc.description.abstract	In a recent theoretical paper, Sherman [Sherman, A.E., 2005, Global trends in IPO methods: Book building versus auctions with endogenous entry, Journal of Financial Economics 78, 615-649.] proposes that: "If book building leads to greater expected underpricing relative to uniform price or discriminatory auctions, then it should also lead to less volatility in aftermarket trading...". In this paper, we study a Japanese sample and find that book-built IPOs exhibit greater underpricing and higher aftermarket volatility compared to price-discriminatory auctions. Aftermarket volatility wanes with seasoning in both sub-samples, but the book-built volatility levels are persistently higher than those for auctions for as long as one year after the IPO issue date. © 2007 Elsevier B.V. All rights reserved.	en_US
dc.relation.ispartof	Pacific Basin Finance Journal	en_US
dc.relation.isbasedon	10.1016/j.pacfin.2007.04.010	en_US
dc.subject.classification	Finance	en_US
dc.title	Auctions versus book-built IPOs in Japan: A comparison of aftermarket volatility	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	16	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	16	en_US

Abstract:

In a recent theoretical paper, Sherman [Sherman, A.E., 2005, Global trends in IPO methods: Book building versus auctions with endogenous entry, Journal of Financial Economics 78, 615-649.] proposes that: "If book building leads to greater expected underpricing relative to uniform price or discriminatory auctions, then it should also lead to less volatility in aftermarket trading...". In this paper, we study a Japanese sample and find that book-built IPOs exhibit greater underpricing and higher aftermarket volatility compared to price-discriminatory auctions. Aftermarket volatility wanes with seasoning in both sub-samples, but the book-built volatility levels are persistently higher than those for auctions for as long as one year after the IPO issue date. © 2007 Elsevier B.V. All rights reserved.

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http://hdl.handle.net/10453/10028