Investor sentiment and short run IPO anomaly: a behavioral explanation of underpricing

• Table of contents
  
  • II- Literature review of behavioral explanations ................................................42
    
  • II-1\ Informational cascades ...........................................................................43
    
  • II-2\ The prospect theory ...........................................................................43
    
  • II-3\ Investor sentiment by Ljungqvist, Nanda and Singh (2004) ..............................45
    
  • II-4\ The use of Grey Market Data ..................................................................47
    
  • II-5\ The use of market conditions to value investor's sentiment ..............................49
    
  • II-6\ Discount on closed-end funds as proxy for investor sentiment ......................51
    
  • II-7\ Other proxies and empirical results .........................................................52
    
• List of tables
  
• Abstract
  
• INTRODUCTION
  
• Section 1- Short run IPO anomaly and traditional explanations
  
  • I- Underpricing anomaly: a persistent phenomenon that characterizes IPO market
    
    • I-1\ Underpricing definition:
      
    • I-2\ A persistent anomaly in time:
      
    • I-3\ A persistent anomaly in all countries:
      
    • I-4\ A persistent anomaly in all industries:
      
  • II- Theoretical explanations of short run underpricing: A literature review
    
    • II-1\ Asymmetric information:
      
    • II-1-1\ The issuer is more informed than the investors:
      
    • Welch (1989) and others assume that the issuer is better informed about its true value.
      
    • II-1-2\ The investors are the most informed:
      
    • II-2\ Symmetric information:
      
    • II-2-1\ Risk premium:
      
    • II-2-2\ Characteristics of the Initial Public offering:
      
    • II-2-3\ Lawsuit avoidance: legal liability
      
    • II-2-4\ Underpricing as a substitute of marketing expenditures:
      
    • II-2-5\ Internet Bubble:
      
    • II-2-6\ Price stabilization and partial adjustment:
      
• Section 2- Behavioral explanations
  
  • I- Definitions:
    
    • I-1\ The sentiment's notion:
      
    • I-2\ Hot IPO market's phenomenon:
      
    • I-3\ Investors typology:
      
  • II- Literature review of behavioral explanations:
    
    • II-1\ Informational cascades:
      
    • II-2\ The prospect theory:
      
    • II-3\ Investor sentiment by Ljungqvist, Nanda and Singh (2004):
      
    • II-4\ The use of Grey Market Data:
      
    • II-5\ The use of market conditions to value investor's sentiment:
      
    • II-6\ Discount on closed-end funds as proxy for investor sentiment:
      
    • II-7\ Other proxies and empirical results:
      
• Section 3- The model and empirical implications
  
  • I- The model and explanatory variables:
    
    • I-1\ The model:
      
    • I-2\ The explanatory variables:
      
    • I-2-1\ Informational Asymmetry Theory:
      
    • I-2-2\ Theory asserting informational symmetry and IPO market efficiency:
      
    • I-2-3\ Investor sentiment and Behavioral approach:
      
  • II- Data Description:
    
  • III- Empirical implications and analysis:
    
• CONCLUSION
  
• References