The trending attention – using Google Search data to predict the first day returns of London Stock Exchange's initial public offerings

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School of Business | Bachelor's thesis
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Date
2021
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
19
Series
Abstract
This thesis examines the previously found relation between abnormal changes in company's Google search volumes and the first day returns of its initial public offering. The search volume data, which is used to measure investor attention, was found to have strong predictive power in the US IPOs by Dat et al. (2011). In this thesis, I study investor attention and the short-term performance of London Stock Exchange's IPOs between 2010 and 2020, using Google Trends data as a measure of attention. I find that pre-IPO Google search volumes have statistically significant predictive power on the first day returns and that companies with higher search volumes experience larger first day returns
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Thesis advisor
Keloharju, Matti
Keywords
attention, investor attention, IPO, price pressure
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