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dc.contributor.authorAp Gwilym, Owain
dc.contributor.authorVerousis, Thanos
dc.date.accessioned2024-07-03T09:56:24Z
dc.date.available2024-07-03T09:56:24Z
dc.date.issued2010en_US
dc.identifier.issn1057-5219
dc.identifier.doi10.1016/j.irfa.2010.01.007
dc.identifier.urihttp://hdl.handle.net/20.500.12127/7515
dc.description.abstractThis is the first paper to systematically investigate price clustering in new equity assets using a high frequency transactions dataset. We test the hypotheses that past price information and market maker activities are related to price clustering. We report that price clustering in IPOs is substantially greater than the clustering observed for non-IPO assets, which supports the hypothesis that the decision of going public is followed by haziness about the true price. Underpricing is a significant determinant of price clustering for order-book trades, which supports the notion that underpriced IPOs partially reflect price uncertainties. Tick size specifications can be restrictive for individual investors, while giving execution priority to market makers. The characteristics of price clustering for off-book trades differ substantially to price clustering in the order-book.en_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.subjectPrice Clusteringen_US
dc.subjectMicrostructureen_US
dc.subjectInitial Public Offeringsen_US
dc.subjectLondon Stock Exchangeen_US
dc.subjectHigh-Frequency Dataen_US
dc.titlePrice clustering and underpricing in the IPO aftermarketen_US
dc.identifier.journalInternational Review of Financial Analysisen_US
dc.source.volume19en_US
dc.source.issue2en_US
dc.source.beginpage89en_US
dc.source.endpage97en_US
dc.contributor.departmentBangor Business School, Bangor University, Gwynedd, LL57 2DG, United Kingdomen_US
dc.contributor.departmentSchool of Business & Economics, Swansea University, Swansea, SA2 8PP, United Kingdomen_US
dc.identifier.eissn1873-8079
vlerick.knowledgedomainAccounting & Financeen_US
vlerick.typearticleJournal articleen_US
vlerick.vlerickdepartmentAFen_US
dc.identifier.vperid311477en_US


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