Research On Emotion Building And Attacking Of Individual Investors And Individual Investors

In recent decades, the empirical research of investor sentiment has been the critical concern of both theory and empirical research, which is also the important direction of behavioral finance. Meanwhile, with the quick development of Chinese Financial Industry, public SEO (Seasoned Equity Offering) and private equity placement have become the most important refinancing methods. In general, private equity placement has a positive announcement effect and public SEO shares a negative one, and both of which will offer investors a certain level of discount. A lot of researches show that many factors can affect the post-announcement CAR (Cumulative Abnormal Return) and discount, but few of them focus on the contribution of investor sentiment. Using the event from2006to2012, this paper attempts to study announcement effect and discount of the listed companies’private equity placement and public SEO based on the perspective of investor sentiment by employing the sample of A-share listed firms. This paper divides selected data into institutional and individual sentiment, using PCA (principal component analysis) to build comprehensive institutional and individual sentiment index, and put the sentiment index into analysis. The contribution of this paper is to divide investor sentiment into two groups, institutional and individual, and find the difference of their effect on private placement and public SEO.This paper reached following results. First, private equity placement of Chinese listed companies generally has a positive announcement effect, while public SEO has a negative announcement effect. Second, Individual investor sentiment can significantly affect the CAR of public SEO post-announcement, while institutional investor sentiment cannot. Third, Individual investor sentiment cannot affect the CAR of private placement. Institutional investor sentiment does have the impact, but the direction is not as the paper original expected. Forth, the discount rate of private placement is larger than that of public SEO. Both institutional and individual investor sentiment can significantly affect the discount rate, but the latter one may enjoy a relatively larger impact. Finally, the individual investor sentiment is the Granger Cause of discount rate of public SEO, which provide the foundation that we can construct investor sentiment and make predictions.