Market Sentiment, Investor Attention And IPO Market Anomalies

Scholars have studied IPO market anomalies from different perspectives sincethe born of IPO market anomalies, and got a lot of research achievements. However,the existing researches have certain limitations, for example, the assumptions ofmathematical model are relatively strict, and has a certain gap with the reality, theempirical analysis may get different results due to the different methods or datasamples, thus making the research conclusion has some limitations.Agent-based computational finance, born in1990s, it can take into account manyrealistic factors with the help of computer simulation technology, thus giving a betterdescription of investor behavior and market environment. Besides, it can control theexperimental conditions, so it can be used to study the formation mechanism of IPOmarket anomalies.According to the superiorities of agent-based computational finance, this paperbuilds an experimental platform, which has the attributes of Chinese IPO market. Theplatform has considered the primary issue market and the secondary market. Theinvestors in the platform includes institute RII investors, institute EMBS investors,individual EMB investors, and individual EMBS investors.Based on the platform, this paper studies the impact of the investors’ sentimentand attention on the IPO market anomalies (IPO underpricing and long-term weakperformance). The result indicates that different type of investor’s sentiment andattention has different impact on IPO market anomalies. The higher institute investorsentiment will lead to higher issue price, and higher first-day underpricing rate, buthas no impact on IPO stock long-term market performance; higher individual investorsentiment will lead to higher first-day underpricing rate, and stock long-term marketperformance. The higher institution investors’ attention will lead to higher issue priceand higher first-day underpricing rate, but has no impact on IPO stock long-termmarket performance; the higher individual investors’ attention will lead to higherfirst-day underpricing rate, and stock long-term market performance.Finally, the conclusions of this study, regulatory bodies, to be listed companiesand investors with appropriate countermeasures.