A direct test of Rock's model of the pricing of unseasoned issues

Francis Koh; Terry Walter

doi:10.1016/0304-405X(89)90058-5

A direct test of Rock's model of the pricing of unseasoned issues

Francis Koh^*, Terry Walter

^*Corresponding author for this work

Macquarie Business School

Research output: Contribution to journal › Article › peer-review

151 Citations (Scopus)

Abstract

Unique data availability and institutional arrangements for new issues in Singapore allow a direct test of the empirical implications of Rock's model of pricing unseasoned new issues. Our empirical results are consistent with the model. Specifically we find that the unseasoned new issues' anomaly disappears when the rationing associated with new issues is incorporated into the analysis. The winner's curse is evident in allocation patterns used in Singapore.

Original language	English
Pages (from-to)	251-272
Number of pages	22
Journal	Journal of Financial Economics
Volume	23
Issue number	2
DOIs	https://doi.org/10.1016/0304-405X(89)90058-5
Publication status	Published - 1989

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abstract = "Unique data availability and institutional arrangements for new issues in Singapore allow a direct test of the empirical implications of Rock's model of pricing unseasoned new issues. Our empirical results are consistent with the model. Specifically we find that the unseasoned new issues' anomaly disappears when the rationing associated with new issues is incorporated into the analysis. The winner's curse is evident in allocation patterns used in Singapore.",

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A direct test of Rock's model of the pricing of unseasoned issues

Abstract

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