Joumal of Shanxi Finance and Economics University

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1 Joumal of Shanxi Finance and Economics University Feb Vol.33 No.2 IPO IPO IPO IPO IPO IPO F832 [ ] A [ ] Internet Discussions Investor Sentiment and IPO Underpricing LIN Zhen- xing School of Management Xiamen University Xiamen China Abstract This paper examines the predicative power of internet messages on IPO underpricing. It constructs three different measures for investor sentiment and finds that investor attention is significantly related to both IPO underpricing and first-day trade volume. The research reveals the predicative power of internet chatters and gives a new insight into the IPO puzzle. Key Words internet discussions investor sentiment IPO underpricing IPOs IPO IPO 2009 Underpricing Ibbotson 1975 IPO IPO IPOs IPO Ritter Welch 2002 IPO 10% 30% IPO 30% IPO 100% IPO IPO 256.9% IPO IPO Leave Money on the Table

2 2 Baker Wurgler 2005 IPOs IPO Qiu Welch 2005 Finan- cial Measure Survey Measure IPO Delong 1990 Rational Tetlock 2007 Investor Noise Trader DeLong 1990 Ljungqvist Wilhelm IPO Cornelli Goldreich Ljungqvist 2005 Pre -Issue Trading Market 2004 Oehler Rummer Smith 2005 IPO 2007 IPO IPO 2008 Ljungqvist Nanda Singh 2006 IPO Hot Markets IPO 2005~2006 A IPO IPO IPO IPO Zweig 1973 Wysocki Lee Shleifer Thaler Baker Stein 2004 Bagnoli

3 Whispers Underprice= P 1-P 0 - M 1-M 0 1 P 0 M 0 Tumarkin Whitelaw 2001 Underprice IPO P 1 Das P 0 M 1 Chen 2001 M 0 Dewally 2000 IPO 3 Newsgroup Antweiler Frank IPO A IPO 57.66% 50.84% % IPO 1 IPO % 67.82% B IPO % 22.1% 50% 1 IPO A IPO 2006 IPO IPO 1993 % % % % % 1993~ % 84.98%35.61% 67.82% % 2000~ % 28.57%16.75% 5.50% 71.46% % 41.69%33.14%-5.33% % A IPO % 50.84%42.47%-5.33% % B IPO IPO IPO A 1 1.2% 9.53% B 1 1.2% 17.25% IPO C % 56.95% C % 38.06% C % 55.35% C % 56.21% C % 65.64% C % 71.72% C % 62.52% F 1 1.2% % G % 50.06% Ljungqvist H 1 1.2% 96.54% 2006 K 5 5.8% 75.14% L 3 3.5% 78.73% % 57.66% 2005 IPO 25

4 guba. eastmoney.com A B H 2 Disagreement =1 -abs Bullpost -Bearpost Bullpost+Bearpost 2 Bullpost Bearpost Disagreement 0 1 Disagreement Disagree- ment IPO 17.7% 9.3% Disagreement * :08: % 16.4% 6.6% 2.9% 33.2% % 11:55:28 9.3% 6.8% 6.7% 1.6% 30.5% % * :18:43 IP Wind / IPO 26

5 Size Leverage 5 ROA Proceeds PE Underprice IPO Lot 1 4 LnPost Post IPO Bullishness 2.72 Disagreement % LnSize 18.70% IPO Leverage % ROA LnProceeds IPO 4 IPO PE Lot % ROA % Batch Panel A Industry 1 Panel B % j k LnProceeds PE Lot IPO 5 6 Underprrice LnPost Bullishness Disagreement LnSize Leverage ROA LnProceeds PE Lot Underprice *** ** *** *** ** LnPost *** * *** Bullishness *** *** *** ** Disagreement * * * LnSize *** *** *** *** ** Leverage *** *** ROA *** *** *** *** LnProceeds *** *** ** ** *** ** *** *** PE *** *** *** *** Lot ** *** *** *** *** ** Pearson Spearman 1% 5% * 10% 6 Underprice Underprice =β 0 +β 1 LnPost +β 2 Bullishness +β 3 Ln- Bullishness Size+β 4 Leverage+β 5 ROA+β 6 LnProceeds+β 7 PE+β 8 Lot+ Disagreement Batch+ Industry+ε t 3 LnPost Size ROA IPO 7 3 PE IPO 5% 7 1 IPO 1% Lot IPO IPO Leverage IPO 1 IPO 5% Ln- 27

6 2 3 IPO Disagreement Bullishness Disagree- ment IPO 4 LnPost Bullishness IPO 7 IPO t t t t LnPost *** *** Bullishness Disagreement LnSize Leverage ** ** ROA LnProceeds PE ** * * ** Lot *** *** *** *** Batch *** *** *** *** Batch *** *** *** ** Industry R F *** *** *** *** IPO IPO IPO 1 IPO IPO IPO Underprice= P 1-P 0 P 1 P % 75.82% P % 91.23% IPO Underprice= P 1-P 0 - M t-m t-1 P 0 M t-1 P 0 IPO M t-1 P 1 Turnover=β 0 +β 1 LnPost+β 2 Bullishness+β 3 LnSize+ β 4 Leverage +β 5 ROA +β 6 LnProceeds +β 7 PE +β 8 Lot + M t Batch+ Industry+ε i 4 IPO j k Turnover 5 8 IPO 8 t LnPost *** Bullishness Disagreement LnSize Leverage ROA LnProceeds * PE LnPost Lot Batch *** R 2 Batch LnPost Industry R t 3.50 R F *** 28

7 8 LnPost of Accounting and Economics : IPO Turnover 10 Baker Malcolm Jeremy C Stein. Market Liquidity as 1% a Sentiment Indicator J. Journal of Financial Markets : Baker M Wurgler J.Investor Sentiment and the Cross-section of Stock Returns J. Journal of Finance : IPO Cornelli F Goldreich D Ljungqvist A P.Investor Sentiment and Pre-Issue Markets J. Journal of Finance : IPO 13 Das Sanjiv R Mike Chen.Yahoo! for Amazon: Sentiment Parsing from Small Talk on the Web Z. Working Paper Delong J B Shleifer A Summers L H Waldmann R J.Noise Trader Risk in Financial Markets J. Journal of Political Economy : Dewally Michael.Internet Investment Advice: IPO Investing with a Rock of Salt Z. Working Paper University of 1 Oklahoma IPO 16 Ibbotson R G.Price Performance of Common Stock IPO New Issues J. Journal of Financial Economics :235-2 IPO Lee Charles MC Andrei Shleifer Richard H Thaler. IPO 3 Investor Sentiment and the Closed-end Fund Puzzle J. Journal of Finance : IPO 18 Ljungqvist A P Wilhelm W J.IPO Pricing in the Dot-com Bubble J.Journal of Finance : IPO 19 Ljungqvist A V Nanda R Singh.Hot Markets IPO Investor Sentiment and IPO Pricing J. Journal of Business : Oehler A Marco Rummer Peter N Smith.IPO Pricing and the Relative Importance of Investor Sentiment -Evidence 1. J. from Germany Z.Working Paper Qiu LX Welch I.Investor Sentiment Measures Z. 2. IPOs Working Paper NBER J IPO Pricing and Allocations J. Journal of Finance : J Tetlock Paul C.Giving Content to Investor Sentiment: J The Role of Media in the Stock Market J. Journal of Finance 5. IPO D : Tumarkin Robert Robert F Whitelaw. News or 6. Noise? Internet Message Board Activity and Stock Prices J. J IPOs 25 Wysocki Peter D.Cheap Talk on the Web: The J Antweiler W M Frank.Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards J. Journal of Finance : Bagnoli Mark Messod D Beneish Susan G Watts. Whisper Forecasts of Quarterly Earnings Per Share J. Journal 22 Ritter J R Welch.A Review of IPO Activity Financial Analysts Journal : Determinants of Postings on Stock Message Boards Z. Working Paper University of Michigan Zweig Martin E.An Investor Expectations Stock Price Predictive Model Using Closed-End Fund Premiums J. The Journal of Finance :

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