We develop a theory of speculative bidding to explain why IPOs are persistently underpriced. Using the global games framework, we show IPO offer prices act as a coordination mechanism which causes rational investors to overreact to offer price revisions. Empirical tests show the magnitude of market overreactions increases when investors acquire information in anticipation of the IPO, suggesting that IPO underpricing is an inevitable consequence of the book build mechanism. An unfortunate corollary is that underwriters' attempts to price efficiently inadvertently increase the effectiveness of price revisions as a coordination mechanism, leading to persistent "underpricing".