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1、TowardModelingInternetStockBehaviorJarrodJohnstonUniversityofMinnesotaDuluth150SBE–FMIS10UniversityDriveDuluth,MN55812-2496(218)726-6563jarrodjohnston@prodigy.netJeffMaduraFloridaAtlanticUniversity220SE2ndAvenueFt.Lauderdale,FL33301AlanL.TuckerLubinSchoo

2、lofBusinessPacePlazaPaceUniversityNewYork,N.Y.10038-1502TowardModelingInternetStockBehaviorSinceinternetstocksexhibituniquepricebehavior,weconductananalysistoexplainthatbehavior.First,weapplyatwo-factormodeltodeterminewhetherandhowsixdifferentinternetsto

3、ckclassificationsrespondtoasystematicinternetcomponentafteraccountingformarketmovements.Second,wetestwhetherthesensitivityofinternetstockclassificationstotheinternetsectorcomponentisconditionedonthetypeofbusinessclassification.Third,weassessthesensitivit

4、yofindividualinternetstockstotheinternetsectorcomponent.Fourth,weassessthevariationofsensitivitieswithinaswellasacrossclassifications.Wefindthatallbutoneinternetclassificationispositivelyandsignificantlyrelatedtotheinternetsectorcomponent.Sincetheinterne

5、tsectorcomponentwastransformedtobeorthogonaltothemarket,theresultsconfirmasectorinfluencethatisaboveandbeyondthemarketeffect.Furthermore,thetwo-factormodelexhibitssignificantlylesserrorvariancethanthemarketmodel.Anassessmentoftheindividualinternetstockss

6、uggeststhatalmostallofthemarepositivelyandsignificantlyrelatedtotheinternetsector.Theseresultsofferstrongerevidencethatthepricingofinternetstocksaccountsforaforceaboveandbeyondthemarket.Finally,ourcross-sectionalanalysisdocumentsthatindividualinternetsto

7、cksensitivitytotheinternetsectorisconditionedonfirm-specificcharacteristics(within-classificationcharacteristics)aswellasthetypeofbusinessclassification.I.INTRODUCTIONInternetstocksaredistinguishedinthefinancialmediafromothertypesofstocksasiftheyrepresen

8、tedadifferenttypeofsecurity.Theyareisolatedinspecialcolumnsoffinancialmagazines,havetheirownsetofanalysts,arerepresentedbystockindexes,andareevenusedtocomprisespecialmutualfunds.Yet,theacademicresearchonpricinginternetstoc