文档介绍：THE ROLE OF THE MEDIA IN THE IPO BUBBLE*
Utpal Bhattacharya
Kelley School of Business
Indiana University
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Neal Galpin
Kelley School of Business
Indiana University
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Rina Ray
Kelley School of Business
Indiana University
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Xiaoyun Yu
Carlson School of Management
University of Minnesota
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September 15, 2005
Key words: initial public offerings, media, bubble
JEL number: E32, G14, G30
* We are grateful for suggestions from Laura Field, Murray Frank and seminar participants at Penn State
University, Singapore Management University, University of New Orleans and at the following
conferences: European Finance Association Annual Meeting 2005 and China International Finance
Conference 2005. All mistakes remain our own responsibility.
THE ROLE OF THE MEDIA IN THE IPO BUBBLE
Abstract
The first part of this paper explores whether aggregate media coverage was different for
IPOs as opposed to a matching sample of non- IPOs in the late 1990s. So we read
all news items that came out between 1996 through 2000 on 458 IPOs and a matching
sample of 458 non- IPOs – a total of 171,488 news items – and classify each news item as
good news, neutral news or bad news. We find, not surprisingly, that the overall media coverage
was more intense for IPOs. Further, we document that the overall media coverage was
much more positive for IPOs in the period of dramatic rise in share prices and was much
more negative for IPOs in the period of dramatic fall in share prices. The second part of
the paper explores whether this differential media coverage had any effect on the difference in
risk-adjusted returns between stocks and non- stocks. We find, surprisingly, that
the answer is no: the market somewhat discounted the media sentiment – news
(number of good news minus numbe