Retail Trading and IPO Returns in the Aftermarket
利用交易规模区分散户与机构交易，发现散户交易对新股首日回报的影响取决于新股热度，热门新股中散户交易正向影响回报，冷门和中性新股则由机构交易主导。
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.