Ipo Spillover Effect Research Based On Limited Attention

Psychology research found that attention is limited. Attention to one task necessarily requires a substitution of cognitive resources from the others. In modern social, with the plentiful information, attention is a kind of scarce resources. In financial markets, investors should allocate the limited attention reasonably. When investors allocate their attention, they will be affected by the subjective factors, the objective characteristics of information, and environmental factors. Therefore, investors have bias in allocating attention frequently. There is phenomenon that the attention allocating is imbalance.In securities market, IPO is the hotspot. IPO is great strength and persistent stimulate to a large number of investors and analysts, and the media pay close attention to it. Meanwhile, the same industry and region stocks are also paid close attention due to the natural relation and "plate phenomenon". In this paper, based on the analysis of the traditional economics and adding the factor of limited attention, we analyse IPO Spillover effect to the same industry and region stocks. With theoretical analysis and modeling, limited attention is important to IPO Spillover effect. And IPO has information effect and competitive effect to the same industry and region stocks.We choose the IPO from June 2006 to February 2010 as events to study IPO Spillover effect to the same industry and region stocks. The simple CAR model and market forecast model are used to measure IPO Spillover effect. We found the short-term IPO Spillover effect is not obvious. But the IPO Spillover effect is increase gradually as the time. Then, we choose some variables that represent information effect, competitive effect and investors'attention to make regression analysis.In short time, investors'attention is not important, but the information effect and competitive effect is obvious. And the one effect offsets the other. So the short-term effect doesn't appear. With empirical analysis of the long-term effect, We found that investors' attention can explain the abnormal returns.