Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/108897
Authors: 
Vakrman, Tomas
Kristoufek, Ladislav
Year of Publication: 
2015
Series/Report no.: 
FinMaP-Working Paper 35
Abstract: 
Online activity of Internet users has proven very useful in modeling various phenomena across wide range of scientific disciplines. In our study, we focus on two stylized facts or puzzles surrounding the initial public offerings (IPOs) - underpricing and long-term underperformance. Using the Internet searches on Google, we proxy the investor attention before and during the day of the offering to show that the high attention IPOs have different characteristics than the low attention ones. After controlling for various effects, we show that investor attention still remains a strong component of the high initial returns (underpricing), primarily for the high sentiment periods. Moreover, we demonstrate that the investor attention partially explains overoptimistic market reaction and thus also a part of the long-term underperformance.
Subjects: 
initial public offerings
Google Trends
puzzles
JEL: 
E44
G02
Document Type: 
Working Paper
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