Study On The Influence Of Investor Sentiment On IPO Premium In A-Share Market

In recent years,investor sentiment hypothesis based on behavioral finance theory plays an important role in explaining IPO premium.Many psychological and economic studies have shown that the prevailing investor sentiment in financial markets is an important factor affecting the IPO premium.However,there is relatively little research on the impact of investor sentiment on IPO premium at home and abroad.In order to better understand the relationship between China's stock market and investor sentiment and improve the investment environment in the stock market,based on the assumption that the less transparent stocks of companies proposed by Vogler and Baker are more susceptible to investor sentiment.We Select the a-share market IPO premium is analyzed by the influence of investor sentiment,to check whether investor sentiment and Carhart momentum factor and Fama-French three factor can decide the a-share IPO level of premium.Firstly,this paper makes a theoretical deduction on the effect mechanism of investor sentiment on IPO premium of A-share market.And,From the perspective of behavioral finance theory,the IPO premium phenomenon in A-share market is discussed and studied.Secondly,by building a composite investor sentiment index to measure investor sentiment.Finally,the effect of investor sentiment on IPO premium is verified.The empirical analysis mainly selects the characteristics of the five major listed companies listed on the first day of P/E,issuance time,issuance size,online issuance ratio,and first day turnover rate to empirically test the cross-sectional effect.The empirical results show:Investor sentiment is positively correlated with IPO premium level;the first day turnover rate,the online issuance ratio,the issuance size,the issuance time,and the first day P/E all have different impacts on the IPO premium rate.Finally,based on the empirical results and relevant theoretical analysis,this paper puts forward corresponding countermeasures and Suggestions to national government institutions,securities regulators and individual investors respectively.