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

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  • Zhao, Ruwei
  • Xiong, Xiong
  • Shen, Dehua

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.

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  • Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
    • Handle: RePEc:eee:phsmap:v:508:y:2018:i:c:p:342-348
    DOI: 10.1016/j.physa.2018.05.115
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    Cited by:

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    3. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    4. Zhao, Ruwei, 2020. "Quantifying the correlation of media coverage and stock price crash risk: A panel study from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    5. Jingjian, Si & Xiangyun, Gao & Jinsheng, Zhou & Anjian, Wang & Xiaotian, Sun & Yiran, Zhao & Hongyu, Wei, 2023. "The impact of oil price shocks on energy stocks from the perspective of investor attention," Energy, Elsevier, vol. 278(PB).
    6. Zhao, Yi & Wang, Nan & Zhang, Luyang & Sun, Baiqing & Yang, Yuchen, 2022. "The greater the investor attention, the better the post-IPO performance? A view of pre-IPO and post-IPO investor attention," Research in International Business and Finance, Elsevier, vol. 63(C).
    7. Wei Zhang & Pengfei Wang, 2020. "Investor attention and the pricing of cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 445-468, July.
    8. Yongjie Zhang & Yue Li & Dehua Shen, 2022. "Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 123-137, March.

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