Investor Sentiment、Analyst Pricing Forecast And IPO Underpricing

The pricing of new shares has always been a hot topic.Since the beginning of its establishment,China’s securities market has been plagued by the inefficient pricing of new stocks.The underpricing of IPO remains high.With China’s booming economy,investors in China’s stock market occupy a major position and their irrational behavior is very prominent.It has a significant impact on IPO underpricing.In order to curb investors’speculation,the Shanghai and Shenzhen Stock Exchange introduced the policy of limiting the price of new stocks on the first day in December 2013.Although the first day’s maximum rise is limited to 44%,the follow-up stock prices continue to rise.The implementation effect of the policy remains to be studied.In addition,securities analysts have a variety of sources of information and their predictions help investors to study the enterprise in a more comprehensive way and optimize the allocation of market resources.Based on the sample of A-share listed companies from July 2009 to December 2017,this paper systematically studied the relationship between investor sentiment,analyst pricing forecast and IPO underpricing and the changes before and after the policy of IPO First-day Price Limit.Empirical findings are:(1)Investor Sentiment increases IPO underpricing and the IPO First-day Price Limit significantly increases this effect.The double superposition of the P/E ratio control and IPO First-day Price Limit policy can aggravate this effect;(2)It is found that the more divergent and the lower accuracy of the analyst pricing forecast is,the more uncertain the value of the new stock.The impact of investor sentiment on IPO underpricing is greater.This effect is more significant before the implementation of the IPO First-day Price Limit policy;(3)Further research found that analyst pricing forecast has a more pronounced effect on the relationship between investor sentiment and IPO underpricing in companies which is small or listed in the SMEs and the GEM.In terms of IPO returns,the higher investor sentiment is,the lower stock returns.The policy implication of this paper is that the state should strengthen investor education and advocate rational investment.As the intermediary of information transmission,analysts can help investors make decisions and improve the pricing efficiency of new shares by disclosing relevant information.The restriction on the IPO First-day Price Limit has not reached the goal of curbing the new speculation,which provides important implications for the regulatory authorities to improve the supervision of IPO pricing in the future.