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  • Hsuan-Chi Chen, Jay R Ritter, William Christie, Stuart Gillan, Jason Karceski, Tim Loughran +17 others
  • 1999
Gross spreads received by underwriters on initial public offerings (IPOs) in the U.S. are much higher than in other countries. Furthermore, in recent years over 90 percent of deals raising between $20-80 million have spreads of exactly 7.0 percent, three times the proportion of a decade earlier. Investment bankers readily admit that the IPO business is very(More)
We propose a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the(More)
This article provides several new insights into the economic sources of skewness. First, we document the differential pricing of individual equity options versus the market index and relate it to variations in return skewness. Second, we show how risk aversion introduces skewness in the risk-neutral density. Third, we derive laws that decompose individual(More)
This paper examines a well known empirical puzzle in the literature on technology adoption: there is a strong pattern of non-increasing adoption of new technologies over time, even though these technologies are known to have high returns. I study the use of hybrid maize and fertilizers in Kenya, where there are persistent cross sectional di¤erences in(More)
Prior research has assumed that underwriters post a stabilizing bid in the after-market. We find instead that aftermarket activities are less transparent and include stimulating demand through short covering and restricting supply by penalizing the f lipping of shares. In more than half of IPOs, a short position of an average 10.75 percent of shares offered(More)
We study stock holdings and trading behavior of more than 60,000 households and find evidence consistent with dividend clienteles. Retail investor stock holdings indicate a preference for dividend yield that increases with age and decreases with income, consistent with age and tax clienteles, respectively. Trading patterns reinforce this evidence: Older,(More)
SOES bandits are individual investors who use Nasdaq's Small Order Execution System (SOES) for day trading. Their average profit per trade is small, but they trade dozens or hundreds of times per week. Bandits usually establish a position before most market-makers have updated their quotes, and lay off the position at favorable prices through Instinet or(More)
Previous studies have found that the proportion of equity in total new debt and equity issues is negatively correlated with future equity market returns. Researchers have interpreted this finding as evidence that corporate managers are able to predict the systematic component of their stock returns and to issue equity when the market is overvalued. In this(More)
Any opinions expressed here are those of the author(s) and not those of the institute. Research disseminated by IZA may include views on policy, but the institute itself takes no institutional policy positions. The Institute for the Study of Labor (IZA) in Bonn is a local and virtual international research center and a place of communication between(More)
Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit quality and liquidity across countries, we show that the bulk of sovereign yield spreads is explained by differences in(More)