ipo liquidity fl

IPO Underpricing, Post-Listing Liquidity, and Information Asymmetry in the Secondary Market Jean-François Gajewski Université de Savoie, IREGE, IMUS e-mail: [email protected] Carole Gresse Université Paris Dauphine, DRM, CEREG e-mail: [email protected] September 2007 In progress, not to be quoted Abstract Using a sample of IPOs undertaken on Euronext between 1995 and 2004, our study examines the relationship between initial returns and post-listing liquidity, and tests whether it is influenced by ownership structure and information asymmetry. Our fi ndings partially validate the liquidity-promotion hypothesis, as post-listing turnover is positively related to initial underpricing, but this liquidity effect cannot be assigned to ownership dispersion. It is more likely attributable to the interest underpriced stocks generate. Information asymmetry is negatively linked to the level of initial underpricing, suggesting that more public information is produced on more underpriced IPOs. JEL classification: G12, G14, G32 Keywords: IPO, initial underpricing, ownership structure, post-listing liquidity, information asymmetry

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