Research On Investor Sentiment And IPO First Day Return

The first day of IPO revenue performance for the new shares listed on the first day of theincome is much higher than its intrinsic value, the conventional (standard) finance the validityof the secondary market, the IPO first-day gains, the stock market in order to reflect the valueof listed companies, provide compensation to a market issuers, underwriters and investorsissued at a discount due to However, scholars in the primary market underpricing provides areasonable explanation is followed by the IPO companies long-term weak trend, this visioncan not be fully explained to the underpricing for the main theoretical traditions finance to geta good explanation. Scholars began to doubt the premise that the efficient market assumption,and turning to the secondary market, the study of new shares on the first day closing price isreasonable. Scholars try to use behavioral finance theory to explain the behavior of investorsin the secondary market, investors of irrational emotions have a significant impact on stockprices.1990s of the last century with the rise of behavioral finance, scholars have recognizedthat there is no evidence that the equity secondary market is sufficiently effective in the world,the first day of revenue is also possible that the first day of trading price is too high consistent.Behavioral finance scholars believe that the IPO first-day gains too high can be issued fromthe underpricing of IPO companies in a market, that is, the IPO price is too low and thesecondary market for IPOs on the first day of the premium price overreaction to explain.China’s capital market after20years of reform and exploration has made great achievements,but still with high IPO first-day yield. This makes it necessary to find the cause of the highIPO first-day gains from the primary market and secondary market investor sentiment factor.Therefore, we selected investors from the perspective of investor sentiment in the primarymarket and secondary market sentiment proxy variable to explore the IPO first-day gains. Intheory, the first theory of investor behavior, investor sentiment affect the first day of theproceeds of the IPO mechanism is introduced. In the empirical side, select the Shanghai andShenzhen A-share market from September2000to September2009,758IPOs samples wereinvestigated, first build the investor sentiment index, then create a vector based on the firstday of the IPO yield Since the dynamic relationship between the regression model to the dynamic effects of different distribution period investor sentiment and IPO first day of theyield. It is found that the fund subscription period of sentiment and investors first betweenIPO income all represent a notable dynamic relations. And in market value allotment period,investors sentiment and between the stock returns all represent not significant in the dynamicrelationship.