Many brokerages will further penalize the broker by also requiring that the commission from the sell be rebated back to the brokerage firm. That does tend to be a tricky issue. An easy answer is that for every Microsoft, there are many stocks that end up in bankruptcy. But another answer comes from the fact that all the spectacular stories we hear about the IPO market are usually basing the percentage increase from the POP, and the Loughran and Ritter study uses purchase prices based on the day after the offering hit the market. Starting with the managing underwriter and all the way down to the investor, shares of such attractive new issues are allocated based on preference.
Most brokers reserve whatever limited allocation they receive for only their best customers.
In fact, the old joke about IPO's is that if you get the number of shares you ask for, give them back, because it means nobody else wants it. While the deck may seem stacked against the average investor. For an active trader things may not be as bad as they appear. The Loughram and Ritter study assumed that the IPO was never sold. Obviously opportunities exist, however it's not the easy money so often associated with the IPO market.