Abstract Book of the 9th World Conference on Social Sciences
Year: 2025
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Investor Attention, Divergence of Attention, And IPO Performance in India
Surya Kanta Mohanty, Jitendra Mahakud
ABSTRACT:
This paper examines the impact of investor attention on the performance of initial public offerings (IPOs) in India, using the Google Search Volume Index (GSVI) as a direct proxy for pre-listing investor interest. Drawing on a dataset of 354 mainboard IPOs issued between 2009 and 2023, the study measures IPO performance through both listing-day returns (proxied by open, close, high, and low prices) and short-run aftermarket returns at horizons of one, three, six, and twelve months. In addition to pre-listing attention, attention divergence is used, which is defined as the difference between search activity in the 15 days after listing and the 15 days before listing, to capture shifts in investor focus around IPO events. Regression results indicate that higher pre-listing GSVI is positively and significantly associated with IPO listing-day returns as well as short-run aftermarket performance. By contrast, attention divergence exhibits a negative relationship with aftermarket returns up to six months and becomes insignificant beyond this horizon. Additionally, logit and probit models further show that greater pre-IPO search activity significantly increases the likelihood of a successful listing-day outcome. Sub-sample analysis reveals that the impact of investor attention is more pronounced for smaller issues, non-group-affiliated firms, and IPOs with weaker governance structures. The findings highlight the importance of investor attention in shaping IPO anomalies, offering new insights into how both the level and divergence of attention affect pricing outcomes in emerging markets.
Keywords: Investor Attention, Google Search Volume Index, IPO Performance, Attention Divergence