NBER Working Papers by Michelle Lowry

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Working Papers

June 2006The Variability of IPO Initial Returns
with Micah S. Officer, G. William Schwert: w12295
The monthly volatility of IPO initial returns is substantial, fluctuates dramatically over time, and is considerably larger during "hot" IPO markets. Consistent with IPO theory, the volatility of initial returns is higher among firms whose value is more difficult to estimate, i.e., among firms with higher information asymmetry. Our findings highlight underwriters' difficulty in valuing companies characterized by high uncertainty, and, as a result, raise serious questions about the efficacy of the traditional firm commitment underwritten IPO process. One implication of our results is that alternate mechanisms, such as auctions, may be beneficial, particularly for firms that value price discovery over the auxiliary services provided by underwriters.

Published: Michelle Lowry & Micah S. Officer & G. William Schwert, 2010. "The Variability of IPO Initial Returns," Journal of Finance, American Finance Association, vol. 65(2), pages 425-465, 04. citation courtesy of

November 2001Biases in the IPO Pricing Process
with G. William Schwert: w8586
By investigating the entire IPO pricing process, beginning when the offering is filed, the paper contributes to the existing literature along four dimensions. First, price updates during the registration period are predictable based on firm and offer-specific characteristics known at the time the offer is filed. Second, price updates reflect market movements prior to the initial filing date as well as during the registration period. Third, positive and negative information learned during the registration period affect the offer price asymmetrically. Finally, public and private information learned during the registration period have different effects on the offer price. While a number of the biases that we uncover are consistent with one or more theories regarding IPOs, many remain a puzzle...

Published: Schwert, G. William and Michelle Lowry. "Is the IPO Pricing Process Efficient?" Journal of Financial Economics 71 (January 2004): 3-26.

October 2000IPO Market Cycles: Bubbles or Sequential Learning?
with G. William Schwert: w7935
We examine the strong cycles in the number of initial public offerings (IPOs) and in the average initial returns realized by investors who participated in the IPOs. At the aggregate level, initial returns are predictably related to past initial returns and also to future IPO volume from 1960-1997. To understand these patterns, we use firm-level data from 1985-97 to model the initial return. Our results show that aggregate IPO cycles occur because of the time it takes to complete an IPO, the clustering of similar types of IPOs in time, and information spillovers among IPOs.

Published: Lowry, Michelle and G. William Schwert. "IPO Market Cycles: Bubbles Or Sequential Learning?," Journal of Finance, 2002, v57(3,Jun), 1171-1200. citation courtesy of

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