If a quote contains information as formulated in theory, then it is possible to elicit the information from each quote. We offer a simple method to extract the private and the public information elements from the quote revision. The extraction is only required to know the trade direction of the previous trade. We then present empirical evidence that our estimates are informational pertinent by showing that they are highly correlated with transaction returns. Furthermore, contrasting to the pattern of the bid-ask spread, we show that the intraday private information elements are converging as trading progresses. This phenomenon is consistent to the prediction in the theory. Our public information elements also have a similar declining pattern as that of the private information element only with a different reason.

This study examines asymmetric information content of REIT IPOs as compared to that of industrial IPOs matched by similar asset size, underwriter reputation ranking, and partial adjustment of the offer-price from the midpoint of the original file range. The asymmetric information level is proxied by the relative bid-ask spread (RELSPREAD), adverse selection component of Glosten and Harris (GH, 1988), and the adverse selection component of Lin, Sanger, and Booth (LSB, 1995). All three measures are estimated over 45- and 60-day windows. Using a sample of 78 equity REIT IPOs and 123 Industrial IPOs for the period of January 1, 1993 to December 31, 2007, the results indicate that REIT IPOs have less asymmetric information content as compared to mature industrial firms. All results control for leverage, beginning assets size, issue proceeds, underpricing, partial adjustment, number of IPOs within the same year, venture capital backing, underwriter reputation, average daily volume, average daily price, specialist’s inventory risk, and the turnover ratio. The results also control for the Nasdaq and NYSE rule change of minimum tick increments from 1/8th to 1/16th on June 2, 1997, and June 24, 1997, respectively. The findings provide strong support for the hypothesis that REIT IPOs have less asymmetric information content than non-REIT IPOs.