%0 Journal Article %A Sanjiv Jaggia %A Satish Thosar %T The Role of Investor Sentiment in the
IPO Aftermarket %D 2012 %R 10.3905/joi.2012.21.4.099 %J The Journal of Investing %P 99-110 %V 21 %N 4 %X This article uses two price signals on the cusp of an IPO, price revision (change from pre-offer to offer price) and initial return (change from offer to market open price), as proxies of investor sentiment, which appears to have potent and lingering effects over a six-month aftermarket window. For instance, firms that rank high on our investor optimism scale exhibit considerable initial price momentum and sharp reversals. The article shows that a mechanical trading strategy designed to exploit aftermarket patterns generates economically significant risk-adjusted returns compared to a buy-andhold benchmark. Robustness checks indicate that it is important to implement the strategy as early as possible and the key driver is the serial dependence in aftermarket returns.TOPICS: Portfolio construction, equity portfolio management, passive strategies %U https://joi.pm-research.com/content/iijinvest/21/4/99.full.pdf