Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/19244
Title: Retail trading and IPO returns in the aftermarket
Authors: Chan, YC 
Issue Date: 2010
Publisher: Wiley-Blackwell
Source: Financial management, 2010, v. 39, no. 4, p. 1475-1495 How to cite?
Journal: Financial management 
Abstract: Using trade size from the Trade and Quote (TAQ) data set as a proxy for individual versus institutional trading, this paper finds that the effects of trading of these two types of investors on initial public offering (IPO) returns on the first trading day depend on the hotness of the IPO. My regression results reveal that IPOs' open-to-close returns are positively related to small trade participation, small trade purchases, and small trade order imbalance in the hot IPO sample, but not in the cold and neutral IPO samples. In addition, the aftermarket prices of cold and neutral IPOs are primarily driven by the trading of institutional investors, who are less likely to be driven by sentiment.
URI: http://hdl.handle.net/10397/19244
ISSN: 0046-3892
EISSN: 1755-053X
DOI: 10.1111/j.1755-053X.2010.01119.x
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