The Impact Of Investor Attention On The Performance Of New Shares

The continuous development of Internet technology has led to the time of "Information Explosion".One of the characteristics of the Information Explosion" is that the excess information makes the individual attention become a scarce resource.The initial public offering(IPO)is not only an important financing approach for enterprises,but also one of the focuses of the capital market,securities industry and related investors.It's enough to attract investor attention.The shares which are promising,worth investing or having a rising trend are likely to attract more attention from investors,including individual investors and institutional investors.After systematically reviewed the theory and literature of the initial rate of return of IPO and investor attention,we took Baidu index as the proxy variable of individual investor attention,the number of institutional investors participating in the inquiry and the oversubscription multiple of the investors under the net as the proxy variable of the institutional investor attention,and we examined the impact of the individual investor attention and the institutional investor attention on the performance of new shares,which issued between January 1,2014 and June 30,2016.At first,we respectively analyzed the impact of individual investor attention of a week before issued announcement,two weeks before the IPO and four weeks after the IPO on the the performance of new shares,using the multiple linear regression and controlling the size of issuance,the difference between price-earnings ratio,the underwriter's reputation and the listing plate.Secondly,we analyzed the influence of institutional investor attention on the performance of new shares.Then grouping with the degree of the institutional investor attention,we examined that the grouped samples that are have significant differences and further studied the different impact of individual investor attention on the performance of new shares in the case of different institutional investor attention.Subsequently,we used the samples before and after the suspension of the new shares and the alternative rate to do robustness test.Through the empirical analysis,we drew the following conclusions:(1)The individual investor attention has a significant positive impact on the performance of new shares,and the impact mainly came from the investor attention before issued;(2)There is a significant positive correlation between institutional investor attention and the performance of new shares.The more the institutional investor attention,the less impact of the individual investor attention on performance of new shares.