The Information Content of Grey Market Prices of Indian IPOs

Vishwanath, S R and Singh, Kulbir (2011) The Information Content of Grey Market Prices of Indian IPOs. International Research Journal of Applied Finance, 2 (8). pp. 956-987. ISSN 2229 – 6891

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Abstract

Earlier studies find that high grey market prices in Europe are a good predictor of first-day aftermarket prices, while low grey market prices are not and document long-run price reversal following high grey market prices. This is attributed to investor optimism and sentiment. We find that 1) grey market prices, retail subscription, and underpricing are all explained by fundamentals 2) grey market prices contain useful information relating to IPO subscription, underpricing and long run performance 3) informed investors can undertake arbitrage between grey and IPO markets. Our study shows that despite arbitrage opportunities grey market investors are not sentiment investors

Item Type:	Article
Uncontrolled Keywords:	IPO Underpricing; When-Issued Market; Book Building
Subjects:	Finance
Divisions:	Finance and Strategy
Depositing User:	Mr. Muralidhara D
Date Deposited:	10 Dec 2018 14:31
Last Modified:	10 Dec 2018 14:31
URI:	http://tapmi.informaticsglobal.com/id/eprint/545

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