How Accurate is the IPO Grey Market Premium? Evidence from 35 Indian IPOs (Zenodo (CERN European Organization for Nuclear Research))

Summary

• The study analyzed 35 mainboard IPOs listed between 3 September and 8 October 2026 to evaluate the forecasting value of the grey market premium (GMP).p.1
• GMP predicted the direction of listing-day performance correctly in 74% of cases and demonstrated a correlation of r = 0.83 with actual gains.p.1
• The mean absolute error of GMP forecasts was 12.5 percentage points, with a median absolute error of 9.6 percentage points.p.1
• Errors were balanced between over-estimation and under-estimation, with 18 listings rated too optimistic and 17 rated too pessimistic.p.1

Key insights

1. GMP correctly predicted the direction of listing gains in 74% of the 35 analyzed Indian mainboard IPOs.p.1
2. The correlation between GMP-implied gain and actual listing gain was r = 0.83, with an R² of 0.68.p.2
3. Forecasting errors were symmetric across the sample, comprising 18 over-estimations and 17 under-estimations.p.1
4. High-GMP IPOs listed even higher than implied by quotes, yielding an OLS slope of 1.39 and intercept of −5.3 percentage points.p.2
5. All 9 IPO listings that closed below their issue price occurred within the sub-10% GMP group.p.2