Modelling the behaviour of the new issue market

Tim Brailsford, Richard Heaney*, Jing Shi

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

11 Citations (Scopus)


This paper analyses the time series behaviour of the initial public offering (IPO) market using an equilibrium model of demand and supply that incorporates the number of new issues, average underpricing, and general market conditions. Model predictions include the existence of serial correlation in both the number of new issues and the average level of underpricing, as well as interactions between these variables and the impact of general market conditions. The model is tested using 40 years of monthly IPO data. The empirical results are generally consistent with predictions.

Original languageEnglish
Pages (from-to)119-132
Number of pages14
JournalInternational Review of Financial Analysis
Issue number2
Publication statusPublished - 2004
Externally publishedYes


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