IPO performance and the size effect: Evidence for the US and Canada

•New evidence on the role of firm size and exchange listing on IPO underpricing.•Documents a significant size effect on IPO underpricing in both Canada and the US.•Canadian large and small cap firms show more underpricing than their US counterparts.•Size effect disappears for holding periods beyond six months from the IPO. This study provides new evidence on the interaction between firm size and IPO underpricing in the US and Canadian markets. We find a size effect on IPO underpricing in both Canada and the US, which is larger for Canadian firms. Canadian small firms show more underpricing than US small firms (19.32% vs. 13.87%). Large Canadian firms also exhibit more underpricing than their US counterparts over the sample period (12.83% vs. 10.09%). A size effect on performance is not apparent for holding periods beyond six months from the IPO in both countries, consistent with seasoning effects that reduce information asymmetries across firms over longer investment horizons.