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Paul A. Spindt, J. Ronald Hoffmeister, The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability, The Journal of Financial and Quantitative Analysis, Vol. 23, No. 4 (Dec., 1988), pp. 401-416

We investigate how investment bankers use indications of interest from their client investors to price and allocate new issues. We model the process as an auction constructed to induce asymmetrically informed investors to reveal what they know to the underwriter. The analysis yields a number of empirical implications, including that new issues will be underpriced and that distributional priority will be given to an underwriter's regular investors. We also find that tension between an underwriter's propensity to presell an issue and an issuing firm's desire to obtain maximum proceeds affects the type of underwriting contract chosen.