Investor Sentiment. "noise" And "public Information" On The Ipo Price

Based on the "BookBuilding" model (Benvernsiteå'ŒSpindt,1989), "Noise Investor Sentiment" model (Derrien,2005) and "Issuer Surplus & Public Information" model (Edelen and Kadlec,2005), a model to maximize the benefits of the underwriter, issuer and investor respectively has been built in this article. As the model shows, "Noise Investor Sentiment" and "Public Information" have collective impact on IPO pricing. By testing the core model with data from the "Growth Enterprise Board" in China's Shenzhen Security Market, it is found that "Noise Investor Sentiment" and "Comparable Companies' Value", the proxy of "Public Information", are negatively related to "Overpricing rate" which evaluates the accuracy of IPO pricing. Furthermore, with "Overpricing rate", the accuracy of IPO overpricing in "Growth Enterprise Board" is evaluated and explained for the reasons of low "Noise Investor Sentiment", much "Private Information" held by institutional investors and low market value of comparable companies.