投资者关注与IPO异象——来自网络搜索量的经验证据

Investor Attention and IPO Anomalies——Evidence from Google Trend Volume

利用谷歌趋势提供的搜索量数据,本文构建了一个投资者关注的直接衡量指标,在此基础上,运用行为金融学里投资者关注的理论,系统解释了IPO市场存在的三种异象。与文献中常见的其他解释变量相比,本文发现IPO前个股网络搜索量对于市场热销程度、首日超额收益和长期表现有更好的解释力和预测力,它可以解释首日超额收益的23%,长期累积收益率的10%以上,结果均十分显著。研究结果表明,投资者关注对资产价格有直接的影响,2009年的新股发行体制改革对首日超额收益的降低起到了明显作用。

This paper uses the search volume data provided by Google trend to construct a direct measure of investor attention,based on which,we systematically explain three anomalies in financial markets with behavior finance theory. Compared with other factors,search volume does a better job in prediction of hot issue market,first day large return and long-run underperformance. The sole pre-IPO search volume can explain 23% of first day excess return and the sole pre-IPO search volume can explain more than 10% of long term communicated return. All the results are very significant. We also find 2009 reform of IPO reduces first day return.