Stock Liquidity and Issuing Activity

Alexander Barinov ()
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Alexander Barinov: School of Business, University of California, Riverside, California, USA

Quarterly Journal of Finance (QJF), 2022, vol. 12, issue 03, 1-43

Abstract: Issuing activity does not result in superior post-issue liquidity. New issues are just as liquid as their peer non-issuers. Even the kinds of new issues that are supposed to be more liquid than others (initial public offerings (IPOs) backed by venture capital, new issues with high-prestige underwriters, severely underpriced IPOs) have the same liquidity as other similar issuers. The paper thus refutes the existing liquidity-based explanations of the new issues puzzle. The paper also shows that the low-minus-high turnover factor seems to explain the new issues puzzle and related anomalies only because it picks up volatility risk.

Keywords: New issues puzzle; liquidity; stock issuance; volatility risk; turnover (search for similar items in EconPapers)
JEL-codes: E44 G12 G13 G32 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S2010139222500100

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