Underpricing, underperformance and overreaction in initial public offerings: Evidence from investor attention using online searches

Vakrman, Tomas; Kristoufek, Ladislav

doi:10.1186/s40064-015-0839-4

Table 1 Used variables and their definition

From: Underpricing, underperformance and overreaction in initial public offerings: Evidence from investor attention using online searches

Variable	Definition
GSV	Original Google search volume for given keyword
ASVI	Logarithm of GSV for given day minus the logarithm of median GSV during previous 26 days
IR	Log initial return of IPO calculated from the offering price to the first day closing price
L R ⁽¹⁾	Log cumulative return calculated from the first day closing price to the closing price one year after IPO
L R ⁽²⁾	Log cumulative return calculated from the first day closing price to the closing price half a year after IPO
L R ⁽³⁾	Log cumulative return calculated from the first day closing price to the closing price a quarter after IPO
L R ⁽⁴⁾	Log cumulative return calculated from the closing price one month after IPO to the closing price one year after IPO
L R ⁽⁵⁾	Log cumulative return calculated from the closing price one month after IPO to the closing price half a year after IPO
T D _i	True discount of IPO defined as in Ma and Tsai (2002). \(TD=\frac {P_{e}-P_{o}}{P_{o}}\) where P _o is the offering price and P _e is the so-called equilibrium price – in our case the average price between t+150 and t+180, where t is the IPO date
M R _i	Market reaction to IPO defined as in Ma and Tsai (2002). \(MR=\frac {P_{m}-P_{e}}{P_{o}}\) where P _o is the offering price, P _m is the first day closing price and P _e is the so-called equilibrium price - in this case the average price between t+150 and t+180, where t is the IPO date
POSSENT	Dummy variable that takes value of one if the level of SENTIMENT exceeds the third quartile, and zero otherwise
NOSENT	Dummy variable that takes value of one if the level of SENTIMENT is between the first and the third quartile, and zero otherwise
NEGSENT	Dummy variable that takes value of one if the level of SENTIMENT is below the first quartile, and zero otherwise
A S V I×S E N T	ASVI and SENTIMENT interaction variable
A S V I ^POSSENT	Interaction variable that takes value of ASVI if the level of SENTIMENT exceeds the third quartile, and zero otherwise
A S V I ^NOSENT	Interaction variable that takes value of ASVI if the level of SENTIMENT is between the first and the third quartile, and zero otherwise
A S V I ^NEGSENT	Interaction variable that takes value of ASVI if the level of SENTIMENT is below the first quartile, and zero otherwise
A S V I×I R	ASVI and IR interaction variable
O f f e r i n g s i z e	Log size of the offering measured in the US dollars
NYSE	Dummy variable that take one if the offering emits its shares at NYSE and zero if it emits its shares at NASDAQ
Crisis	Dummy variable that takes value of one for days in interval 〈3, D e c e m b e r 2007; 30, J u n e 2009〉, and zero otherwise
Sentiment	Monthly time-varying aggregate market sentiment orthogonalized with respect to a set of macroeconomic conditions developed by Baker and Wurgler (2006)
△S e n t i m e n t	Month on month difference in time-varying aggregate market sentiment orthogonalized with respect to a set of macroeconomic conditions developed by Baker and Wurgler (2006)

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