Investor attention and performance of IPO firms: Evidence from online searches

Ruwei Zhao, Xiong Xiong and Dehua Shen

Physica A: Statistical Mechanics and its Applications, 2018, vol. 508, issue C, 342-348

Abstract: This paper examines whether abnormal investor attention has predictive power for IPO first day underpricing and long term underperformance. In particular, we employ the Baidu Index as the proxy for abnormal investor attention and find positive correlations between abnormal investor attention and IPO first day return, which indicates that a higher abnormal investor attention prior IPO would result in a higher IPO first day return. However, we find weak significant correlation between IPO long term underperformance and abnormal investor attention. We further investigate the interaction effect of IPO first day return and long term performance. The results show that IPO first day return has weak predictive power for long term underperformance.

Keywords: Investor attention; IPO; Underpricing; Underperformance; Baidu Index; Chinese stock market (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:508:y:2018:i:c:p:342-348

DOI: 10.1016/j.physa.2018.05.115

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