|
|
Paper Stats:
Abstract Views: 1442
Downloads: 438
Download Rank: 6723
|
Can Loss Aversion Move the Market? Evidence from IPO Trading Volume
|
MARKKU KAUSTIA
Helsinki School of Economics - Department of Accounting and Finance
December 27, 2000
|
| |
Abstract:
We study empirically the market-wide importance of loss aversion by investigating IPO trading volume. In IPOs all initial investors have a common purchase price, and the effect of loss aversion should be at its strongest. We find an increase in turnover for negative initial return IPOs on the day they surpass the offer price for the first time. This effect is economically important, although not as strong and consistent as that produced by new maximum and minimum stock prices. These results suggest that loss aversion may play a role in aggregate stock market activity.
|
| |
Keywords: IPO, loss aversion, disposition effect, trading volume
|
| |
JEL Classifications: G10, G30
|
| |
Working Paper Series
|
| |
Contact Information for
MARKKU
KAUSTIA
(Contact Author)
Email address for MARKKU
KAUSTIA
Helsinki School of Economics - Department of Accounting and Finance
P.O. Box 1210
Helsinki 00100
Finland
+3589 4313 8475 (Phone)
+3589 4313 8678 (Fax)
|
|
|
| |
|
| |
Email Abstract or URL
|
| |
SSRN Resources
To search for other abstracts in the SSRN archival database, click here.
To order a membership to an SSRN Network or to subscribe to one or more of SSRN's journals,
go to our online subscription request form.
To go to SSRN's main web site (www.ssrn.com), click here.
|
