Study: Does the Broad Market Rise Unusually into IPOs and Then Sell Off After, from Jared Albert
Motivated by the Saudi Aramco IPO, this study tries to answer the question: does the broad market rise into big IPO's (and then sell off after)? This is based on the theory that there is an effort to boost the market before the IPO to benefit the new issue ecosystem.
I'm surprised, but there doesn't seem to be an effect as the chart shows the usual upward drift. I took the 25 biggest US IPOs by proceeds and graphed the mean of LN changes of the SPY to the IPO date of the 20 trading days before and the 20 trading after.
LN changes 20 days before to IPO date
count 25.000000
mean -0.009702
std 0.051080
min -0.125424
25% -0.029615
50% -0.013882
75% 0.020232
max 0.075516
LN changes from IPO date to 20 days after
count 25.000000
mean 0.004976
std 0.032097
min -0.069427
25% -0.008863
50% 0.001278
75% 0.024553
max 0.065406
IPO data is from here
SPY date is from here
script is here.