Empirical Study On The Correlation Of Investor Sentiment And IPO Abnormal Initial Return

IPO has a high initial excess returns is a widespread phenomenon in the globalmarket.Always have a lot of scholars at home and abroad research this phenomenon.Theyput forward many theories and models. So the IPO abnormal initial return in the emergingchinese market attracted many scholars at home and abroad study on it.The research onabnormal initial return of IPO have highly realistic significance,Verificating factors thathave influence on IPO is helpful to standardize IPO market and protect benefits ofmedium and small investors.In the past research,the academic circles mainly have twointerpretation about IPO high initial return:Underpricing theory about the primarymarket and premium theory about secondary market.A market oriented Pricing mechanism has been introduced into China s IPOmarket since2005,The pricing mechanism can reduce the high under-Pricing rate intheory.But in fact,China s IPO under-Pricing rate still remains high after thereformation.So this paper try to make a research on secondary market to explainphenomenon of IPO abnormal initial returnThis article includes five chapters.First chapter is a introduction, which includesthe background of the problem,the research ideas,the technical route and theinnovation of this paper.In the second chapter I make a review of Investorsentiment,then use foreign theory models to interpret that the emotional impact ofinvestors how to affect asset prices. In the chapter three，firstly I introduced mainperformance of investor in china,then make hypotheses that secondary marketmaybet caused the abnormal phenomenon.I put a empirical research in the chapterfour.firstly,use a multiple linear regression model to test assumption made in chapterfour.secondly, take the altemative varlables for investor sentiment and other controlvariables as explanatory variables for the empirical study.we find that there s asignificant correlation between investor sentiment and IPO under-Pricingrate.In the last chapter I give out conclusions of this article,and raise severalappropriate policy advices.Besides,I also put forward some shortages of this article.