Research On The IPO's Industrial Effect Of Chinese A-Share Market Based On Limited Attention

The IPO market is the foundation of the secondary stock market,and is regarded as an important channel for listed companies to develop.At the present stage,literature analyzes the performance of companies around their initial public offerings(IPOs),focusing on the short-term overpricing,long-term weak and hot issue market.Recently another kind of IPO anomaly begins to receive attention from the circles of theory and practice which is called the IPO's industrial effect.IPO's industrial effect contradict with the EMH of stock market assumption,and is becoming a new research subject in the field of finance.This article selects the listed A-shares of the Shanghai Stock Exchange and the Shenzhen Stock Exchange from January 1,2012 to December 31,2014 as samples,combing qualitative and quantitative analysis methods,to measure the IPO's industrial effect in Chinese A-share market and then try to explain the IPO's industrial effect based on limited attention.Firstly,this article summarized the state of the research on the limited attention and the IPO's industrial effect from in and out.Secondly,through theoretical overview to analyze the existence of the IPO's industrial effect and its influencing factors,then proposed the research hypothesis.Lastly,we selected the prospectus announcement date and the listing date as the first day of the event window period to examine the IPO's industrial effect by using the event study,and choosed the typical event window to analyse the influencing factors of the IPO's industrial effect and carried out a robustness test.Particllarly,in this paper,we set Baidu search index as a proxy variable of investors' attention applied to the research of the IPO's industrial effect for the first time.The analyzing results indicate that there is significant positive excess return in the same industrial categories.By selecting the prospectus announcement date and the listing date as the first day of the event window period to examine the IPO's industrial effect,the paper finds that from days before the prospectus announcement date to days after the listing date,the IPO's industrial effect is significant positive.We selected influencing factors from the perspective of investors'limited attention,and finds that the significant positive effect is influenced by investors' limited attention.What's more,Baidu search index which is the direct proxy variable of investors' attention is better than trading volume which is the indirect proxy variable of investors' attention.All the results illustrate,limited attention significantly affect the IPO's industrial effect.