1. For each IPO stock, we construct a total return index (match-adjusted return index) based on its monthly raw returns (match-adjusted returns) within 2 years of the IPO. In panel A, we use a “representative” stock to illustrate the typical price movement of IPO stocks after the offer date. The representative stock is defined as a hypothetical stock whose return equals the average return of all IPO stocks in the sample. The total return indexes (match-adjusted return indexes) of the representative stock are then plotted from the time of the IPO to 2 years (24 months) after the IPO. Panel B shows the distribution of the price peak of individual IPO stocks, where the price peak for each stock is defined as the quarter in which its return index reaches the highest point within the 2-year window after the offer date.
From: Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings*
Rev Asset Pric Stud. Published online July 18, doi: /rapstu/rax018
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2. For the subsample of IPO stocks that experienced price peaks in Q5 or later, we first align them according to their price peak event quarters; that is, we assign event quarter zero to the quarter when the return index of an IPO stock reaches its highest point. We then examine the change in the percentage holding of hedge funds (ΔHFP) and the change in the percentage holding of nonhedge funds (ΔNonHFP) around the price peak quarter, from quarters −4 to + 4. Horizontal axis is the number of quarters relative to the price peak quarter. The change in the percentage holding of hedge funds is displayed on the left vertical axis and the change in the percentage holding of nonhedge funds is displayed on the right vertical axis.
From: Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings*
Rev Asset Pric Stud. Published online July 18, doi: /rapstu/rax018
Rev Asset Pric Stud | © The Author Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please

3. For the subsample of IPO stocks that experienced price peaks in Q3 or later, we first align them according to their price peak event quarters; that is, we assign event quarter zero to the quarter when the return index of an IPO stock reaches its highest point. We then examine the change in the percentage holding of hedge funds (ΔHFP) and the change in the percentage holding of nonhedge funds (ΔNonHFP) around the price peak quarter, from quarters −1 to + 4. Horizontal axis is the number of quarters relative to the price peak quarter. The change in the percentage holding of hedge funds is displayed on the left vertical axis and the change in the percentage holding of nonhedge funds is displayed on the right vertical axis.
From: Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings*
Rev Asset Pric Stud. Published online July 18, doi: /rapstu/rax018
Rev Asset Pric Stud | © The Author Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please