Investor attention and IPO performance

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Date

2016

Author

Akgün, Başak Elif

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This study examines the influence of pre-IPO investor attention on short- and long-run IPO returns and post-IPO stock liquidity in an emerging market. Individual investor attention is proxied by both passive and active measures. Passive attention is proxied by a traditional media coverage whereas active attention is proxied by a measure that is constructed from Google search volume (GSV) data. Findings imply that, unlike U.S. market findings, investor attention prior to the IPO date does not have an influence on short-run returns in the Turkish market. The results of the empirical analysis also show that a positive change in GSV before the IPO is associated with higher levels of post-IPO liquidity. Findings further suggest that pre-IPO investor attention may lead to a price pressure on the IPO date that later manifests itself as lower returns during the post-IPO period.

Subject Keywords

Web portals., Investments., Search engines., Stock exchanges., Web search engines.

URI

http://etd.lib.metu.edu.tr/upload/12620624/index.pdf
https://hdl.handle.net/11511/26168

Collections

Graduate School of Social Sciences, Thesis

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Citation Formats

B. E. Akgün, “Investor attention and IPO performance,” M.S. - Master of Science, Middle East Technical University, 2016.