What Can Social Media Tell About IPO Performance in China?

38 Pages Posted: 26 Jan 2018

See all articles by Kun Chen

Kun Chen

Southern University of Science and Technology, Department of Finance

Yuqin Huang

Central University of Finance and Economics (CUFE)

Zhenghui Ni

Central University of Finance and Economics (CUFE) - School of Finance

Date Written: January 25, 2018

Abstract

Understanding whether retail investor opinions revealed on social media can predict stock performance is pivotal for financial investment. We adopt postings from a stock forum in China around the IPO period, utilizing a special setting to separate fundamental information from investor comments and exclude the effect of stock return. Moreover, we use the newest method to extract sentiment and attention: Word-to-Vector plus deep learning algorithm through multi-comparison. Our results illustrate that higher attention and bullishness relate with higher initial day and long-term returns. This relationship still holds when the stock return is measured by medium and long-term alpha. Besides, when attention and bullishness indices are higher, post-IPO turnover ratio, volatility and market capitalization are also higher. Finally, we find retail sentiment and attention are related with institutional investor divergence of opinions.

Keywords: IPO Performance, Retail Investor Sentiment, Retail Investors Attention, Social Media

JEL Classification: G02, G19

Suggested Citation

Chen, Kun and Huang, Yuqin and Ni, Zhenghui, What Can Social Media Tell About IPO Performance in China? (January 25, 2018). Available at SSRN: https://ssrn.com/abstract=3109406 or http://dx.doi.org/10.2139/ssrn.3109406

Kun Chen

Southern University of Science and Technology, Department of Finance ( email )

No 1088, xueyuan Rd.
Xili, Nanshan District
Shenzhen, Guangdong 518055
China

Yuqin Huang (Contact Author)

Central University of Finance and Economics (CUFE) ( email )

39 South College Road
Haidian District
Beijing, Beijing 100081
China

Zhenghui Ni

Central University of Finance and Economics (CUFE) - School of Finance ( email )

Beijing
China

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