Event#160tier 1live in productionNew
ipo underpricing drift
cadence: Dailydata: 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.
Read the paper →
What it checks
Newly-public stocks underperform for 3y, mainly in months 12-36.
Mechanism
IPO firms underperform by ~7%/yr over 5y; 12-36m band is where it accumulates.
No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag.
Signal rule
short between months 12-36 post-IPO effective date; hold 90/180/365d
Data dependencies
sec_s1_filingsWorker data table — see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- -7%/yr
- Paper window
- 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.