Investor sentiment extracted from internet stock message boards and IPO puzzles
Investor sentiment extracted from internet stock message boards and IPO puzzles
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DOI：
10.1016/j.iref.2017.10.025
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发表时间：
2017-11
影响因子：
4.5
通讯作者：
Yasutomo Tsukioka;Junya Yanagi;Teruko Takada
中科院分区：
文献类型：
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作者：
Yasutomo Tsukioka;Junya Yanagi;Teruko Takada
首次公开募股（IPO）的高初始回报和长期表现不佳是企业融资的难题。我们研究投资者情绪如何影响这些难题。投资者对各发行公司首次公开募股前的情绪摘自雅虎！日本金融留言板使用文本挖掘和支持向量机分类。 2001 年至 2010 年 654 起日本 IPO 的消息数据用于衡量投资者的注意力和情绪。我们发现，投资者的高度关注和看涨的投资者情绪对 IPO 发行价格和初始回报产生积极影响，导致随后的价格下跌。这表明投资者的过度乐观可以部分解释 IPO 的难题。
High initial returns and long-run underperformance of initial public offerings (IPOs) represent puzzles in corporate finance. We investigate how investor sentiment affects these puzzles. Investor sentiment on each issuing firm's pre-IPO is extracted from Yahoo! Japan Finance message boards using text mining and a support vector machine classification. Message data on 654 Japanese IPOs from 2001 to 2010 are used to measure investor attention and sentiment. We find that high investor attention and bullish investor sentiment positively affect IPO offer prices and initial returns, leading to subsequent price declines. This suggests that excessive investor optimism can partially explain the IPO puzzles.