The pricing disparities occur most often when an IPO is "hot" or appeals to many investors. When an IPO is "hot," the demand for the securities far exceeds the supply of shares. The excess demand can only be satisfied once trading in the IPO shares begins. This imbalance between supply and demand generally causes the price of each share to rise dramatically in the first hours or days of trading. Many times the price falls after this initial flurry of trading subsides.

You can find more information about IPOs, particularly why investors have difficulty getting shares in an IPO and a brokerage firm's IPO eligibility requirements.

Initial Public Offerings:
Eligibility To Get Shares at Broker-Dealers