Investor attention and IPO performance

Akgün, Başak Elif
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. 


Volatility indexes and an implementation of the Turkish BIST 30 index
Karakurt, Caner; Uğur, Ömür; Department of Financial Mathematics (2018)
In 1993, by representing of CBOE Vix, global financial markets met volatility indexes. In 2003, methodology of the CBOE Vix is updated and it took the form which used today. Day after day, volatility indexes have attracted more and more investors and financial institutions, and soon volatility indexes have succeeded in becoming one of the most followed financial indicators. Following these developments, many countries have introduced their implied volatility indexes by using CBOE Vix methodology or its vari...
How does the stock market volatility change after inception of futures trading?
Esen, İnci; Danışoğlu, Seza; Department of Financial Mathematics (2007)
As the trading volume in TURKDEX, the first and only options and futures exchange in Turkey, increases, it becomes more important to have an understanding of the effect of stock index futures trading on the underlying spot market volatility. In this respect, this thesis analyzes the effect of ISE-National 30 index futures contract trading on the underlying stocks’ volatility. In this thesis, spot portfolio volatility is decomposed into two components and this decomposition is applied to a single-factor retu...
Risk Transmission from Oil and Natural Gas Futures to Emerging Market Mutual Funds
Ewing, Bradley T.; Gormus, Alper; Soytaş, Uğur (2018-01-01)
This study evaluates the impacts of energy markets on emerging market mutual funds (EMMFs). In particular, we investigate the volatility transmission between these funds and the oil and natural gas prices. The findings suggest significant risk spillover from the energy markets to EMMFs. Furthermore, we find a large number of EMMFs' risk transmitting to oil prices and almost all of the EMMFs' risk transmitting to natural gas prices. By dividing the sample into two (before and after 2008), we find the EMMFs' ...
Bank Reputation and IPO Underpricing Evidence from the Istanbul stock exchange
Danışoğlu, Seza; Güner, Zehra Nuray (null; 2013-09-21)
This study examines the effect of underwriter reputation on the initial-day and long-term IPO returns in an emerging market. It uses both traditional and extended models given the characteristics of the IPO market under analysis. The results from the traditional model indicate that underwriter reputation has a significant and positive affect on the initial day IPO returns. After controlling for factors that are important in determining the price of an IPO in an emerging market, a complex relationship betwee...
An Application of the Black Litterman model in Borsa İstanbul using analysts’ forecasts as views
Adaş, Cansu; Güner, Zehra Nuray; Danışoğlu, Seza; Department of Financial Mathematics (2016)
The optimal number of stocks to include in a portfolio in order to achieve the maximum diversification benefit has been one of the issues in which investors have focused on since Markowitz introduced fundamentals of the Modern Portfolio Theory. Each stock included in an investor's portfolio decreases the portfolio risk, while increasing the transaction costs incurred by the investor to create this portfolio. In this thesis, the size of a well-diversified portfolio consisting of stocks included consistently ...
Citation Formats
B. E. Akgün, “Investor attention and IPO performance,” M.S. - Master of Science, Middle East Technical University, 2016.