The Quiet Period Is Making Noise Again

摘要

We examine the initial public offering quiet period following the implementation of NYSE and NASD rules extending the quiet period from 25 to 40 days for lead underwriters. While early studies found positive excess returns at the expiration of the quiet period, more recent studies suggest that these returns have disappeared. Controlling for simultaneity bias and changes in analyst behaviour, we investigate whether positive significant returns indeed no longer occur around the expiration of the quiet period. Overall, we find that the quiet period is making noise again.