This paper investigates the impact of investor attention on the IPO abnormal initial returns from the perspectives of the primary and secondary market respectively． Using a sample of 138 GEM IPO firms listed between April 2012 and December 2015，the results of two-tier stochastic frontier analysis show that the stocks are generally issued at premiums． Higher investor attention before the issuance pricing leads to greater gap be-tween the issue price and the intrinsic value，resulting in a lower pricing efficiency． Furthermore，the implicit window guidance restrains the pricing bubble in the primary market． It is also found that both the pricing bub-ble and the investor attention in the secondary market have significant positive impacts on IPO abnormal initial returns．