Company Events & EarningsCore researchlive in productionNew
IPO Underpricing Drift
Updated dailyData needs: mediumshort only
paper
1995
Source
Loughran, T., Ritter, J. R. (1995). "The New Issues Puzzle." Journal of Finance, 50(1), 23-51. Also Ritter 1991 JF.
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In plain terms
Newly-public stocks underperform for 3y, mainly in months 12-36.
How it works
IPO firms underperform by ~7%/yr over 5y; 12-36m band is where it accumulates.
No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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Data dependencies
- SEC s1 filings
A data feed this strategy reads, refreshed on its normal schedule.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Reported return
- -7%/yr
- Tested over
- T+12m to T+36m
~7%/yr underperformance over 36m.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore IPO Underpricing Drift on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.