Analysis Of The Effect Of Information Uncertainty And Investor Sentiment On The IPO Returns

The Central Economic Work Conference and the Government Work Report in 2017 underscored the emphasis on innovation-driven strategies to revitalize the real economy.The development of the real economy is closely related to the financial market,and the two are interdependent.The financing activities through the financial market can provide the funds for the development of the real economy.Therefore,the real economy will be difficult to sustain without the financial market,and the financial market must serve the development of the real economy to become more prosperous.The stock market is the most influential part of the financial market,and initial public offering as the most compelling part of the stock market can help the real economy to solve the financing problem.However,the IPO on the first day of high returns and low long-term performance triggered market volatility,the financial market and the real economy have been brought a negative impact.Therefore,the study of IPO returns for the development of the real economy has important reference value.This study will help to promote long-term healthy and stable operation of China’s economy and society as well.The article reviews domestic and foreign researches on IPO first-day return and long-term performance,and then reviews the related theory research.On the base of analyzing the influence mechanism of how information uncertainty and investor sentiment influence IPO first-day return and long-term performance,the hypotheses are put forward.This paper chooses the IPO first-day return to measure the IPO first-day return and cumulative abnormal return to measure the long-term return.We choose quality of accounting information as the proxy variable of information uncertainty to measure the impact of primary market to IPO first-day return and long-term performance.Reflecting the market sentiment of the five representative variables to generate investor sentiment indicators to measure the impact of the secondary market to IPO first-day return and long-term performance.Based on the data of 996 companies listed on the A-share market in 2009-2015,we study the uncertainty of information,investor sentiment on the impact of IPO first-day return respectively.According to the median of investor sentiment,this paper divides first-day samples into emotional optimism group and emotional pessimistic group and generates information uncertainty and investor emotional interaction,in order to study the influence of information uncertainty on the first-day return of IPO with the impact of investor sentiment.In addition to examining the uncertainty of information and the impact of investor sentiment on the long-term return of IPO,the IPO first-day return is added to the regression of the long-term model,taking the 684 IPO data of China’s A-share market from 2009 to 2012 as the sample.We get some conclusions based on our study.Firstly,the uncertainties and investor sentiment of the listed companies will lead to higher initial excess returns.Secondly,t with the optimism of investor sentiment,the first-day return is less affected by the uncertainty of information,and even no longer significant,investors overheating investment transaction demand is the main reason leading to excess returns,however,the uncertainty of the information is positively related to the excess return of the new shares when investors are pessimistic,which indicates that during this period the short-term returns were generated by the listed companies’ uncertainty of the information.Thirdly,the excess returns and investor sentiment on the first day of listing are significantly negatively correlated with the long-term returns of the IPO.However,the impact of information uncertainty on long-term performance of listed companies is less relevant.