Does Individual Investors’ Sentiment Explain Japanese IPO Aftermarket Performance?

• 발행기관: 한국유통과학회
• 저자명: Norliza CHE-YAHYA Yoshiyuki MATSUURA
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.4, 1079~1090쪽, 전체 12쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.04.30

영문 초록

This study examines the influence of individual investors’ sentiment on Japanese IPO aftermarket performance (measured by return and trading volume on the first trading day and return on the first trading year). This study proposes that IPOs will be, on average overpriced on the listing day when individual investors’ sentiment is highly optimistic. Higher initial return and trading volume are expected in IPOs with higher investors’ optimism. Further, the positive initial return will occur in the short term as individual investors usually are uninformed investors who demand shares based on their personal preferences, which will last only in a short period. Following the overvaluation hypothesis, price reversals should be predicted once the effect of individual investors’ optimism has disappeared, causing the IPOs to underperform in the long term. Using 520 Japanese IPOs issued from January 2010 to December 2019, this study reveals that individual investors’ sentiment is positively and significantly related to returns and trading volume on the first trading day. Return reversals are found on the first trading year despite the insignificant influence of individual investors’ sentiment on IPO return on the first trading year.

목차

1. Introduction

2. Related Literature and Hypothesis Development

3. Methodology

4. Empirical Results

5. Conclusion and Recommendation

키워드

Initial Public Offerings (IPOs) Search Volume Index (SVI) Individual Investors’ Sentiment Aftermarket Performance Japanese Market