The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Investor Sentiment and Pre‐IPO Markets
Open accessAbstract
We examine whether irrational behavior among small (retail) investors drives post‐IPO prices. We use prices from the grey market (the when‐issued market that precedes European IPOs) to proxy for small investors' valuations. High grey market prices (indicating overoptimism) are a very good predictor of first‐day aftermarket prices, while low grey market prices (indicating excessive pessimism) are not. Moreover, we find long‐run price reversal only following high grey market prices. This asymmetry occurs because larger (institutional) investors can choose between keeping the shares they are allocated in the IPO, and reselling them when small investors are overoptimistic.
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Cites
Sample Selection Bias as a Specification Error
Heckman, J. J. (1979) · Econometrica · doi:10.2307/1912352 · Cited by 28,779
Shleifer, A., & Vishny, R. W. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03807.x · Cited by 5,291
Cited by
Hirshleifer, D. (2015) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-092214-043752 · Cited by 497
Metadata
- Authors
- CORNELLI, F., GOLDREICH, D., & LJUNGQVIST, A.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2006-05-16
- Volume
- 61
- Issue
- 3
- Pages
- 1187-1216
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3122464274
- Cited by
- 393
- References
- 2
- FWCI
- 24.98
- Type
- journal article
- Language
- en
- Open access
- green
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- CORNELLI, F., GOLDREICH, D., & LJUNGQVIST, A. (2006). Investor Sentiment and Pre‐IPO Markets. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2006.00870.x
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