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.


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