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1、JOURNALOFFINANCIALANDQUANTITATIVEANALYSISVol.44,No.3,June2009,pp.657–682COPYRIGHT2009,MICHAELG.FOSTERSCHOOLOFBUSINESS,UNIVERSITYOFWASHINGTON,SEATTLE,WA98195doi:10.1017/S0022109009990056TheRoleoftheMediaintheInternetIPOBubbleUtpalBhattacharya,NealGalpin,RinaRay,andXiaoyunYu∗AbstractWe
2、readallnewsitemsthatcameoutbetween1996and2000on458Internetinitialpublicofferings(IPOs)andamatchingsampleof458non-InternetIPOs(atotalof171,488newsitems)andclassifyeachnewsitemasgoodnews,neutralnews,orbadnews.WefirstdocumentthatthemediaweremorepositiveforInternetIPOsintheperiodofthedram
3、aticriseinsharepricesandmorenegativeforInternetIPOsintheperiodofthedramaticfallinshareprices.WethendocumentthatmediahypeisunabletoexplaintheInternetbubble:A1,646%differenceexistsinreturnsbetweenInternetstocksandnon-InternetstocksfromJanuary1,1997,throughMarch24,2000(themarketpeak),an
4、dthemediacanexplainonly2.9%ofthat.I.IntroductionThe1996–2000periodisaninterestingintervalinthehistoryofU.S.stockprices.Asubsetofstocks,calledInternetstocks,wentupby1,000%fromJanuary1996throughMarch24,2000(wecallthisperiodthe“bubble”period),onlytocrashby45%inthenextfewmonths(wecallthi
5、speriodthe“post-bubbleperiod”).ManybelievethatthisdramaticriseandfallinInternetsharepricescannotbeexplainedbyfundamentals,thoughagrowingnumberofpapersarguethattheycan.1∗Bhattacharya,ubhattac@indiana.edu,andYu,xiyu@indiana.edu,KelleySchoolofBusiness,IndianaUniversity,1309E.10thSt.,Blo
6、omington,IN47405;Galpin,ngalpin@mays.tamu.edu,MaysBusinessSchool,TexasA&MUniversity,360WehnerBldg.,CollegeStation,TX77845;andRay,rina.ray@nhh.no,NorwegianSchoolofEconomicsandBusinessAdministration,Helleveien30,5045Bergen,Norway.WearegratefulforsuggestionsfromStephenBrown(theeditor),L
7、auraField,DiegoGarcia,MariassuntaGiannetti,JohnGriffin(thereferee),ChrisLundblad,GuojunWu,WeiXiong,andseminarparticipantsatIndianaUniversity,LondonBusinessSchool,McGillUniversity,PennStateUniversity,SingaporeManagementUniversity,SwedishInstituteforFinancialResearch,Uni-versityofMinnes
8、ota,Universi
