Table 1.
Used variables and their definition
| 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). 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). 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) |