Abstract
We analyze the existence of disposition effect by examining the relevance between pricing and trading volume (turnover ratio of trading) just after IPO. As many as 809 firms are investigated, which went public on JASDAQ, Mothers and Hercules, which are Japanese IPO markets, between September 1997 and December 2004. The sample is suitable to verify disposition effect because individual investors play relatively major role in those markets. We confirm that IPOs with positive (negative) initial return are associated with the significantly high (low) trading volumes, and that the initial return has positive correlation with trading volume. Additionally we find that firms with negative initial return at the outset are actively traded when they surpasses the offer price.
