Oleg V. SOROKINRussian Presidential Academy of National Economy and Public Administration (RANEPA), Moscow, Russian Federation demanded749@gmail.com ORCID id: not available
Subject. Information expectations of an IPO as a factor of short-term profitability of financial assets. Objectives. To analyze the factors that can influence the profitability of shares in the early stages immediately after the initial public offering. Methods. Regression analysis and nonparametric dependence estimation using the near neighbor method were used. Results. During the initial public offering, the investor does not have access to either a long quotation history or verified company statements for many years, so he has to rely on limited information. Under such conditions, the investor's behavior may deviate from rational, in particular, investors become sensitive to the advertising of a future initial public offering. It has been established that in Russian practice, attention to future initial public offerings on social networks is rather a negative factor for long-term investors, and it makes sense to choose stocks in the portfolio immediately after the placement from sectors that are not interesting to the mass investor. Conclusions. The effect of attention to the future placement of shares is manifested only in the period of 60 trading days after the placement, the likely reason is the outflow of speculative capital. The results of the study can be used to assess the potential returns from participating in the initial public offering of Russian shares, as well as to select stocks that have recently completed an initial public offering.
Lo A.W. The adaptive markets hypothesis: Market efficiency from an evolutionary perspective. Journal of Portfolio Management, 2004, vol. 30, iss. 5, pp. 15–29. DOI: 10.3905/jpm.2004.442611
Chordia T., Roll R., Subrahmanyam A. Evidence on the speed of convergence to market efficiency. Journal of Financial Economics, 2005, vol. 76, iss. 2, pp. 271–292. DOI: 10.1016/j.jfineco.2004.06.004
Kam C. Chan, Gup B.E., Ming-Shiun Pan. International stock market efficiency and integration: A study of eighteen nations. Journal of Business Finance & Accounting, 1997, vol. 24, iss. 6, pp. 803–813. DOI: 10.1111/1468-5957.00134
Shiller R.J. From efficient markets theory to behavioral finance. Journal of Economic Perspectives, 2003, vol. 17, iss. 1, pp. 83–104. DOI: 10.1257/089533003321164967
Malkiel B.G. The efficient market hypothesis and its critics. Journal of Economic Perspectives, 2003, vol. 17, iss. 1, pp. 59–82. DOI: 10.1257/089533003321164958
Chopra N., Lakonishok J., Ritter J.R. Measuring abnormal performance: do stocks overreact? Journal of Financial Economics, 1992, vol. 31, iss. 2, pp. 235–268. DOI: 10.1016/0304-405X(92)90005-I
Vamossy D.F. Social media emotions and IPO return. Journal of Money, Credit and Banking, 2024, vol. 57, iss. 1, pp. 31–67. DOI:10.1111/jmcb.13152
Xiao Zhu. Rumination on the influence of trigger events on individual economic behavior – A study based on behavioral economics. China Business Journal, 2020, vol. 11, pp. 24–27. DOI: 10.19699/j.cnki.issn2096-0298.2020.11.024
Yi Zhao, Nan Wang, Luyang Zhang et al. The greater the investor attention, the better the post-IPO performance? A view of per-IPO and post-IPO investor attention. Research in International Business and Finance, 2022, vol. 63. DOI: 10.1016/j.ribaf.2022.101789
Klyuev S.A., Sorokin A.I. [Russian companies in the technology sector: from IPO to delisting]. Innovatsii i investitsii, 2022, no. 3, pp. 214–221. (In Russ.) EDN: APEOWE
L'vutin P.P., Ferttser O.V. [Survey of research on initial public offerings]. Korporativnye finansy, 2007, vol. 1, no. 1, pp. 145–189. (In Russ.) EDN: MSZMRF
Ten'kovskaya L.I. [Modelling company's stock quotes under the economy's cyclicity]. Journal of New Economy, 2024, vol. 25, no. 3, pp. 138–154. (In Russ.) DOI: 10.29141/2658-5081-2024-25-3-7 EDN: WSKDGH
