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The Relation between Investor Attention and First-Day Returns on IPOs: Evidence from Sweden
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
2017 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

An assumption made in much of the finance research is that public information is effortlessly obtained and immediately processed by the market. In reality, attention is a limited cognitive resource and the Internet is one channel through which public information is disseminated. We use the Google Search Volume Index (SVI) as a direct measure of firm-specific investor attention to examine how variation in attention influences the capital market response to an IPO during the first trading day in Sweden. Based on the analysis of IPOs in the period 2006–2016, we find a significant positive relation between investor attention and first-day returns. Moreover, we find that the relation is not driven by market-level investor sentiment or issue size.

Abstract [sv]

Ett antagande som ofta görs inom finansieringsforskningen är att publik information friktionslöst sprids bland marknadsaktörer och omedelbart bearbetas av marknaden. I verkligheten är uppmärksamhet en begränsad kognitiv resurs och internet är en kanal som publik information sprids genom. Vi använder Google Search Volume Index (SVI) som ett direkt, företagsspecifikt mått på investerares uppmärksamhet för att undersöka hur variation i uppmärksamhet påverkar kapitalmarknadens reaktion på en börsnotering under första handelsdagen i Sverige. Baserat på analysen av börsnoteringar under 2006–2016 finner vi ett signifikant positivt förhållande mellan investerares uppmärksamhet och förstadagsavkastningen på börsnoteringar. Dessutom finner vi att förhållandet inte drivs av varken den allmänna stämningen bland investerare (“investor sentiment”) eller erbjudandets storlek.

Place, publisher, year, edition, pages
2017. , 42 p.
Keyword [en]
Google Trends, initial public offerings, search volume, investor attention, IPO underpricing, limited attention
National Category
Business Administration
Identifiers
URN: urn:nbn:se:uu:diva-325201OAI: oai:DiVA.org:uu-325201DiVA: diva2:1113457
Subject / course
Business Studies
Educational program
Bachelor Programme in Business and Economics
Supervisors
Available from: 2017-06-22 Created: 2017-06-21 Last updated: 2017-06-22Bibliographically approved

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CiteExportLink to record
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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf