Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 27, 2021 erstellt
Beschreibung:
This paper employs quiet-period media tone as a proxy for investor sentiment in the IPO market and investigates its impact on primary-market demand and on short and long-run IPO performance. Using a sample of 1,068 book-built IPOs, it finds that pre-IPO quiet period media pessimism lowers primary-market demand for both retail and institutional investors which nudges the latter to lowball the offer price. Media pessimism has a greater impact than media optimism on first-day retail demand. The significant impact of media pessimism on the demand of the more left-skewed IPOs is consistent with loss aversion. Initial returns are more impacted by quiet period media pessimism than by optimism but media optimism has a larger negative impact on long-run abnormal returns. The latter reflects loss aversion and possibly the disposition effect. Overall, the very prominent role of pessimism in our results is consistent with prospect theory preferences