Study On IPO Pricing,investor Behavior Decision And IPO Market Performance Based On Text Information

In the era of digital economy,information and intelligence are widely changing all aspects of human society.In recent years,the application of text big data analysis in the fields of economics and finance is in the ascendant.Text data mining can deeply analyze the emotional color of the text and reveal the hidden information of the text,which provides a new method for the study of classical financial problems and opens up a new way of thinking for the study of new problems.In the process of IPO,prospectus and media reports are the most important text information channels for investors,and they are also the focus of this paper.IPO text information environment can influence investors' attention perspective,cognitive deviation and value judgment,and even induce subjective emotions and irrational behaviors,thus changing their asset allocation mode and stock supply and demand relationship.Therefore,the research on the impact of text information environment and its mechanism is not only in line with the theoretical research trend of the integration of behavioral finance and text analysis,but also in line with the realistic requirements of China's urgent need to improve the financing efficiency of the capital market.However,the research on IPO text information environment by domestic scholars is still in its infancy,mainly reflected in the following aspects: lack of depth and granularity in the research on media and social texts;Lack of a systematic study of the prospectus text,there are more text data sources to be developed;The research method is not scientific and standard,the text information extraction process is not clear;There is a lack of theoretical description of how textual information affects investor perception and behavior;There is no special issue system and control policy in China to study related issues.Reviewing the existing literature,systematic research on IPO text information environment is still rare.This paper systematically discusses the above issues according to the following research ideas: Comb in the existing literature,on the basis of introducing the information asymmetry theory,behavioral finance theory,signaling theory,corporate governance theory and the theory of text analysis,integrated with the literature review analysis,theoretical model analysis,the empirical analysis of measurement,text analysis and computer machine learning model,and other research methods,from the prospectus of text information and media text information two aspects,first of all,build the theoretical model of two kinds of text information affect IPO pricing,depicts two kinds of text information affect investors' cognitive and behavioral decision making and the inner mechanism of the process of IPO pricing;Then,the text analysis method is used to analyze the text information of the prospectus and the media text information by computer,and the influence of the two types of text information on the IPO pricing process,the degree of underpricing,the behavior decision of investors and the market performance after the IPO is listed is tested by combining empirical research.Finally,through the mutual verification of theoretical research and empirical test,some research conclusions are drawn,and on this basis,specific Suggestions are put forward for the regulatory department to carry out the reform of the new issue system and improve the information disclosure mechanism.Specifically,the research work carried out in this paper includes the following four points:(1)In order to study the prospectus text information influence on IPO pricing and investor behavior decision-making,we loathe combined with signal transmission theory and uncertainty theory,pass the prospectus text uncertain information as the issuer to investors uncertain signal,to issue market inquiry system in our country as the background to build theoretical model,depict the uncertain information ACTS on the underwriters of the micro process of behavior and institutional investor behavior,thus the text uncertain information how to influence the first day of IPO pricing and income theoretical explanation is given;Then,494 companies listed in a-shares from 2010 to2012 were taken as samples for empirical test,and the content of uncertain information in the prospectus was quantified by text analysis method,and relevant conclusions of model analysis were verified by empirical test results.The research found that the vague information in the prospectus increased the degree of information asymmetry,which was positively correlated with the first-day IPO return and negatively correlated with the upward adjustment of the IPO price.The content of vague information in prospectus can be used as a proxy variable for the uncertainty before IPO.(2)To examine the prospectus text information influence on market performance after new listings,we selected from 2009 to 2012 of the 346 listed on the gem IPO companies as samples,based on machine learning model for the Chinese context of the financial modal particles library,using Java algorithm model as a text analysis tool,financial modal particles,mutatis mutandis,the library of the prospectus text matching,recognition and classification,on the basis of the metric tone information in the prospectus.Finally,the influence of prospectus text information on IPO underpricing,IPO volatility and long-term returns is investigated through empirical tests.The results showed that more uncertainty and negative information led to higher IPO underpricing and more investor disagreement,resulting in higher volatility and weaker long-term performance.This further verifies that the uncertainty of the prospectus and negative information reveal the uncertainty contained in the company's fundamentals to a certain extent.(3)For the study of media text information to investor behavior and the effect of IPO pricing,we will contact with institutional investors,private information media public information,under the background of China's IPO inquiry system,establish the IPO pricing model based on bayesian information criterion,the media information affecting the behavior of institutional investors,private information,decision-making and its microcosmic mechanism of initial earnings expectations theory,thus clarifying the media information influence institutional investors,private information and the specific path of initial yield;Then,874 IPO samples listed in a-shares from 2009 to2014 were used for empirical test,respectively verifying the two paths derived by the model and the comprehensive effect of the two paths,providing necessary empirical support for the model conclusion.It is found that the distribution of private information of institutions depends on the realization value of media signals.Media information affects the cognition and behavioral decision of institutional investors through incentive effect and demand effect,which have negative and positive effects on expected returns respectively.(4)In order to study the IPO regulation policies between emotion and new media market effect,the regulation of our emotional effect hypothesis based on media reports,select listed on the a-share market in 2009-2017 of 1497 companies as samples,the empirical test on the first day harden board restrictions on the first day after implementation,network media for various periods after ipos market performance(initial),medium-term and long-term performance influence whether the policy is implemented.In addition,we examined whether the introduction of the issue pricing cap further enhanced the impact of the first-day limit and how the combination of the two policies and the catalytic effect of media sentiment affected the pricing efficiency of new shares in the secondary market.The study found that the trade control policy inhibited the timely release of media emotions and strengthened the positive impact of media information on the initial price of new shares.During the implementation of the two policies,media attention has a stronger incentive effect on secondary ipo speculation,which indicates that the influence of media factors on ipo market performance in different periods will be different with the change of transaction control policies.In general,through the mutual verification of theoretical analysis and empirical research,this paper investigates the IPO pricing game process in the context of textual information,describes the decision-making logic of investors' cognition and behavior,measures the efficiency of IPO pricing,and further evaluates IPO control policies.The research results not only improve the IPO information theory and pricing theory,but also provide a scientific basis for regulators,listed companies and investors to make relevant decisions.