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Investor sentiment and short run IPO anomaly: a behavioral explanation of underpricing

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par Ines Mahjoub
Institut des Hautes Etudes Commerciales - Mastère de Recherche 2010
  

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II-1\ Informational cascades ...........................................................................43

II-2\ The prospect theory ...........................................................................43

II-3\ Investor sentiment by Ljungqvist, Nanda and Singh (2004) ..............................45

II-4\ The use of Grey Market Data ..................................................................47

II-5\ The use of market conditions to value investor's sentiment ..............................49

II-6\ Discount on closed-end funds as proxy for investor sentiment ......................51

II-7\ Other proxies and empirical results .........................................................52

Section 3- The model and empirical implications ................................................55

Introduction .............................................................................................55

I- The model and explanatory variables .........................................................57

I-1\ The model ....................................................................................57

I-2\ The explanatory variables ..................................................................58

I-2-1\ Informational Asymmetry Theory .........................................................58

I-2-2\ Theory asserting informational symmetry and IPO market efficiency .............60

I-2-3\ Investor sentiment and Behavioral approach ................................................61

II- Data Description ....................................................................................62

III- Empirical implications and analysis .........................................................70

CONCLUSION ....................................................................................77

References .............................................................................................82

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