واگرایی نظرات و اثر تعدیلی توجه و مشارکت سرمایهگذاران به بازار عرضه اولیه سهام
الموضوعات : دانش مالی تحلیل اوراق بهادار
نفیسه تقی زاده
1
(دانشجوی دکتری حسابداری، دانشگاه آزاد اسلامی واحد تهران جنوب پردیس بین‌الملل کیش)
محسن حمیدیان
2
(استادیار، حسابداری، دانشکده اقتصاد و حسابداری دانشگاه آزاد اسلامی واحد تهران جنوب، تهران، ایران)
نوروز نوراله زاده
3
(استادیار، حسابداری، دانشکده اقتصاد و حسابداری دانشگاه آزاد اسلامی واحد تهران جنوب، تهران، ایران.)
الکلمات المفتاحية: واگرایی نظرات, توجه و مشارکت سرمایهگذاران, عرضه عمومی اولیه,
ملخص المقالة :
در پژوهش حاضر به بررسی اثر تعدیلی توجه و مشارکت سرمایه گذاران بر رابطه بین بازده اولیه و واگرایی نظرات سرمایه گذاران شرکت‌های دارای عرضه عمومی اولیه پرداخته شد که برای این منظور تعداد 124 شرکت دارای عرضه اولیه عمومی در دوره زمانی بین سال‌های 1385 الی 1396 مورد تجزیه و تحلیل قرار گرفتند. پژوهش حاضر از نظر هدف کاربردی و از نظر روش گردآوری داده‌ها در گروه پژوهش‌های توصیفی- پس رویدادی قرار دارد که برای بررسی فرضیه‌ها از نرم‌افزار Eviews8 بهره گرفته شد. نتایج به‌دست آمده در این مطالعه نشان می دهد در مجموع توجه سرمایهگذاران دارای اثر منفی و معناداری بر رابطه بین بازده اولیه سهام و تفاوت دیدگاه‌های سرمایهگذاران دارای عرضه اولیه عمومی سهام می‌باشد و هم چنین، مشارکت سرمایهگذاران خرد دارای اثر مثبت و معناداری بر رابطه بین بازده اولیه و تفاوت دیدگاه‌های سرمایهگذاران دارای عرضه اولیه عمومی می‌باشد.
* احمدی، محمدرمضان؛ کوچک‌اندام، رضوان؛ سیفی قبادی، حسین (1392)، بررسی رابطه بین هزینه تبلیغات و شاخص‌های سودآوری شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران، صص1-19.
* خورشیدی، غ (1372)، گفتار‌های اقتصادی (ویراست1). 2 انتشارات اطلاعات
* Aggarwal, R. (2003). Allocation of initial public offering and flipping activity. Journal of Financial Economics, 68(1), 111-135.
* Al-Nasseri, A. & Ali, F. M. (2018). What does investors' online divergence of opinion tell us about stock returns and trading volume?. Journal of Business Research, 86, 166–178.
* Bamber, L. S., Barron, O. E., & Stober, T. L. (1997). Trading volume and different aspects of disagreement coincident with earnings announcements. The Accounting Review, 72(4), 575–597.
* Banerjee, S. & Kremer, I. (2010). Disagreement and learning: Dynamic patterns of trade. The Journal of Finance, 65(4), 1269–1302.
* Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies, 21(2), 785e818.
* Bayley, L., Lee, J. P. & Walter, T. S. (2006). IPO flipping in Australia: cross-sectional explanations. Pacific Basin Finance Journal, 14(4), 327-348.
* Berkman, H., Dimitrov, V., Jain, P. C., Koch, P. D., & Tice, S. (2009). Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements. Journal of Financial Economics, 92(3), 376–399
* Boehme, R. & Colak, G. (2012). Primary market characteristics and secondary market frictions of stocks. Journal of Financial Markets, 15(2), 286-327.
* Boehme, R. D., Danielsen, R. B. & Sorescu, S. M. (2006). Short-sale constraints, differences of opinion, and overvaluation. The Journal of Financial and Quantitative Analysis, 41(2), 455-487.
* Carlin, B. I., Longstaff, F. A., & Matoba, K. (2014). Disagreement and asset prices. Journal of Financial Economics, 114(2), 226–238.
* Chahine, S. (2007). Investor interest, trading volume, and the choice of IPO mechanism in France. International Review of Financial Analysis, 16(2), 116-135.
* Chang, E. C., Cheng, J. W. & Yu, Y. (2007). Short-Sales constraints and price discovery: evidence from the Hong Kong market. Journal of Finance, 62(5), 2097-2121.
* Chemmanur, T. & Yan, A. (2009). Advertising, attention and stock returns. working paper, Boston College and Fordham University.
* Chen, J., Hong, H., & Stein, J. C. (2002). Breadth of ownership and stock returns. Journal of Financial Economics, 66(2–3), 171–205.
* Chong, F.N., Ahmad, Z. & Ali, R. (2009). Does noise signal affect flipping activities. International Journal of Banking and Finance, 6(2), 111-127.
* Da, Z., Engelberg, J. & Gao, P. (2011). In search of attention. The Journal of Finance, 66(5), 1461-99.
* Daniel, K., Hirshleifer, D. and Teoh, S.H. (2002), “Investor psychology in capital markets: evidence and policy implications”, Journal of Monetary Economics, 49(1), 139-209.
* deHaan, E., Shevlin, T. & Thornock, J. (2015). Market inattention and the strategic scheduling and timing of earnings announcements. Journal of Accounting and Economics, 60(1), 36-55.
* DellaVigna, S. & Pollet, J. M. (2009). Investor inattention and Friday earnings announcements. Journal of Finance, 64 (2), 709-749.
* Dicle, M. F. & Levendis, J. (2017). IPO activity and market volatility. Journal of Entrepreneurship and Public Policy, 7(1), 2-13.
* Diether, K. B., Malloy, C. J. & Scherbina, A. (2002). Differences of opinion and the cross-section of stock returns. Journal of Finance, 57(5), 2113-2141.
* Drake, M. S., Roulstone, D. T. & Thornock, J. R. (2012). Investor information demand: evidence from Google searches around earnings announcements. Journal of Accounting Research, 50(4), 1001-1040.
* Ellis, K. (2006). Who trades IPOs? A close look at the first days of trading. Journal of Financial Economics, 79(2), 339-363.
* Garfinkel, J. A. (2009). Measuring investors’ opinion divergence. Journal of Accounting Research, 47(5), 1317-1348.
* Garfinkel, J. A. & Sokobin, J. (2006). Volume, Opinion Divergence, and Returns: A Study of Post–Earnings Announcement Drift. Journal of Accounting Reaserch, 44(1), 85-112.
* Goetzmann, W. N. & Massa, M. (2005). Dispersion of opinion and stock returns. Journal of Financial Markets, 8(3), 324-349.
* Grullon, G., Kanatas, G. & Weston, J. P. (2004). Advertising, Breadth of Ownership, and Liquidity. Review of Financial Studies, 17(2), 439-461.
* Gupta, N. (2008). Advertising and Firms’ Performance: An Empirical Analysis, Ph.D Dissertation, Gokhale Institute of Politics and Economics, 1-59.
* Harris, M. & Raviv, A. (1993). Differences of opinion make a horse race. Review of Financial Studies, 6(3), 473-506.
* Hong, H. & Stein, J. C. (2007). Disagreement and the stock market. Journal of Economic Perspectives, 21(2), 109-128.
* Houge, T., Loughran, T., Yan, X. S. & Suchanek, G. (2001). Divergence of opinion, uncertainty, and the quality of initial public offerings. Financial Management, 30(4), 5-23.
* How, J., Jelic, R., Saadouni, B. & Verhoeven, P. (2007). Share allocations and performance of KLSE second board IPOs. Pacific-Basin Finance Journal, 15(3), 292-314.
* Ibbotson, R. G. & Jaffe, J. F. (1975). Hot issue markets. Journal of Finance, 30(4), 1027-1042.
* Jelic, R., Saadouni, B. & Briston, R. (2001). Performance of Malaysian IPOs: underwriters reputation and management earnings forecasts. Pacific-Basin Finance Journal, 9(5), 457-486.
* Jewartowski, T. & Lizinska, J. (2012). Short- and long-term performance of Polish IPOs. Emerging Markets Finance & Trade, 48(2), 59-75.
* Kandel, E. & Pearson, N. D. (1995). Differential interpretation of public signals and trade in speculative markets. Journal of Political Economy, 103(4), 831-872.
* Karpoff, J. M. (1986). A theory of trading volume. The Journal of Finance, 41(5), 1069-1087.
* Khanemen, D. (1973). Attention divided among inputs. in Kahneman, D. (Ed.), Attention and Effort, Chapter 8, Hebrew University of Jerusalem, Prentice Hall, NJ, 137-154.
* Kahneman, D. Slovic, P. & Tversky, A. (1982). Judgment Under Uncertainty: Heuristics and Biases. New York: Cambridge University Press.
* Kokemuller. (2013). What Is a Marketing Expenditure. Available from: http://smallbusiness.chron.com/marketing-expenditure-61198.html.
* Krigman, L., Shaw, H. W. & Womack, K. L. (1999). The persistence of IPO mispricing and the predictive power of flipping. The Journal of Finance, 54(3), 1015-1044.
* Kundu, A., Kulkarni, P. P. & Murthy, N. K. (2008). Advertising and Firm Value: Mapping the Relationship between Advertising, Profitability and Business Strategy in India.
* Lim, S. S. & Teoh, S. H. (2010). Limited attention. in Baker, H.K. and Nofsinger, R.J. (Eds), Chapter 16, The Robert W. Klob Series in Finance, John Wiley and Sons, NJ15(3), 1-727.
* Lou, D. (2009). Attracting investor attention through advertising. working paper, London School of Economics.
* Loughran, T. & Ritter, J. R. (2004). Why has IPO underpricing changed over time?. Financial Management, 33(3), 5–37.
* Low, S. W. & Yong, O. (2013). Initial public offering and investor heterogeneity: evidence from Malaysia. American Journal of Finance and Accounting, 3(1), 41-56.
* Madsen J. M. N. (2015). Is Investor Attention for Sale? The Role of Advertising in Financial Markets.
* Margy P. C., Melvin R. C. & George M. Z. (2005). Market Valuation Models of the Effect of Advertising and Promotional Spending: A Review and Meta- Journal of the Academy of Marketing Science, 33(4), 445-460.
* Mayshar, J. (1983). Divergence of opinion and imperfections in capital markets. The American Economic Review, 73(1), 114-128.
* Milgrom, P., & Stokey, N. (1982). Information, trade and common knowledge. Journal of Economic Theor, 26(1), 17–27.
* Miller, E. M. (1977). Risk, uncertainty, and divergence of opinion. Journal of Finance, 32(4), 1151-1168.
* Miller, R. E. (2000). Long-run underperformance of initial public offerings: an explanation. Working Papers 1999-2006, Paper No. 16, Department of Economics and Finance, University of New Orleans, New Orleans, LA.
* Miller, R. E. & Reilly, F. K. (1987). An examination of mispricing, returns and uncertainty for initial public offerings. Financial Management, 16(2), 33-38.
* Narayanasamy, Ch., Mamunur, R. & Izani, I. (2018). Divergence of opinion and moderating effect of investors’ attentions in IPO market: Malaysian evidence. Review of Behavioral Finance, 10(1), 105-126.
* Peng, L. & Xiong, W. (2006). Investor attention, overconfidence and category Learning. Journal of Financial Economics, 80(3), 563-602.
* Shah, Z. & Stark, A. W. (2004). On the Value Relevance of Costly Information on Major Media Advertising Expenditures in the UK. Working Paper, Warwick Business School, UK.
* Varian, H. R. (1985). Divergence of opinion in a complete market: a note. The Journal of Finance, 40(1), 309-317.
* Vose, David (2008). Risk Analysis: A Quantitative Guide. John Wiley and Sons, Ltd.
* Wang, H. & Liu, X. (2014). The impact of investor heterogeneity in beliefs on share repurchase. International Journal of Econometrics and Financial Management, 2(3), 102-113.
* Zhao, R., Xiong, X. & Shen, D. (2018). Investor attention and performance of IPO firms: Evidence from online searches, Physica A: Statistical Mechanics and its Applications, Elsevier, 508(C), 342-348
_||_