Investor attention and ipo performance

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Türkiye

Tezin Onay Tarihi: 2016

Öğrenci: BAŞAK ELİF AKGÜN

Danışman: SEZA DANIŞOĞLU

Özet:

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.