The demand for stocks: An analysis of IPO auctions

We analyze a unique dataset that includes the full demand schedules of 27 I sraeli IPOs that were conducted as nondiscriminatory (uniform price) auctio ns. To the best of our knowledge, this is the first time the whole demand s chedule for any asset is described. The demand schedules are relatively fla t around the auction clearing price: The average elasticity is 37. The elas ticity is low when the return distribution contains a large unique componen t. We also find a significant average abnormal return of 4.5% on the first trading day and a positive correlation between the abnormal return and the elasticity of demand.