Retail Trading and IPO Returns in the Aftermarket

Research output: Journal article publicationJournal articleAcademic researchpeer-review

14 Citations (Scopus)


Using trade size from the Trade and Quote (TAQ) data set as a proxy for individual versus institutional trading, this paper finds that the effects of trading of these two types of investors on initial public offering (IPO) returns on the first trading day depend on the hotness of the IPO. My regression results reveal that IPOs' open-to-close returns are positively related to small trade participation, small trade purchases, and small trade order imbalance in the hot IPO sample, but not in the cold and neutral IPO samples. In addition, the aftermarket prices of cold and neutral IPOs are primarily driven by the trading of institutional investors, who are less likely to be driven by sentiment.
Original languageEnglish
Pages (from-to)1475-1495
Number of pages21
JournalFinancial Management
Issue number4
Publication statusPublished - 1 Dec 2010

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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