The Limited Attention Of Investors And The Abnormal Return Of IPO On The Chinese GEM

Research on the phenomenon of IPO abnormal returns is mainly from the perspective of the primary market underpricing issue in the early days,based on the information asymmetry,the information symmetry,securities issuance and pricing mechanism.With the development of behavioral finance,the domestic and foreign scholars gradually realize the important role of the behavior of investors on the stock price,the following research is mainly from the perspective of the secondary stock market,aimed at investor psychology,emotion and attention,which is currently the mainstream direction for the IPO abnormal returns.Therefore,this paper focuses on the behavior of investors limited attention,with the help of the Internet big data platform,using Baidu search volume index(BSVI)to quantify the behavior of investors with limited attention;and taking into account the Shenzhen Stock Exchange limited IPO on the first day or up to 44% after June 2014,think that the first day return of the IPO can not be fully representative of the stock price expectations of investors,so this paper innovative use the first open limit day closing price to reflect investors' price expectations,and calculation of the return of IPO abnormal return level,and describe the changes of two indicators in recent years.At the same time,in order to show the attention of investors and the abnormal return of IPO whether exist regional differences,the shares are divided into two groups according to the development of the company registration,respectively describes the changes in BSVI and IPO abnormal returns.In the stage of theoretical analysis,this paper combines the limited attention theory of psychology,and provides the internal mechanism for the limited attention of investors to the IPO abnormal returns.In the empirical part,this paper selects the June 2014 to December 2016 IPO in the GEM stocks as samples,show the relationship between the BSVI and IPO abnormal returns with the regression analysis,in addition to study all research samples,this paper also regress the developed and underdeveloped two samples respectively.Regression results show that the finite attention of investors can forecast the abnormal returns of the gem IPO stocks,and do not have regional differences.At the end of this paper,put forward corresponding suggestion for investors,securities intermediaries and listed companies and government regulators respectively according to the empirical results,in order to alleviate the serious speculation in GEM IPO market and improve stability.