Research On The Relationship Between Investor Sentiment And IPO Excess Return

The IPO excess return refers to the phenomenon that investors can obtain much higher income than the market or industry average by investing in newly listed stocks.It is one of the three hot issues in the IPO research field.For most capital markets,IPO's first day excess return rate is an important indicator reflecting the excess returns of IPOs.However,after the restart of the IPO in 2014,the closing price on the first day of IPO listing shall not be higher than 144% of the issue price.After the implementation of the new regulations,the continuous daily limit of the IPO market began to appear,indicating that investors' demand for new stocks can no longer be fully released on the first day of listing,which means that the first day of IPO excess returns no longer applies to our IPO.In the market,it is very necessary to construct and test a new IPO excess return measurement indicator that meets the actual market conditions in China.This article firstly combines the specific conditions of China's stock market,and divides the investment sentiment into investor sentiment of market and investor sentiment of individual stocks.Using the principal component analysis method,this paper constructs a comprehensive index of investors' sentiment that meets the needs of China's A-share market.And when measuring investor sentiment of individual stocks,the total over-subscription multiples and issuance rates are used as emotional variables.Secondly according to the specific requirements of China's IPO market ups and downs after 2014,an initial excess return rate of IPO was established,and the calculation methods before and after the new regulations were distinguished.In the empirical analysis,we firstly qualitatively analyzed the situation of China's A-share market IPO excess returns,then discuss the major institutional changes in the IPO market from 2010 to 2017 and the relationship between institutional changes and investor sentiment and IPO excess returns,finally,use multiple linear regression method to analyze the impact of investor sentiment on IPO excess returns,and compare the differences before and after the new regulations.The results of research results show that in China's A-share market,investor sentiment is an important factor affecting the IPO excess return.The investor sentiment of the market is positively correlated with the stock investor's sentiment and IPO excess return.The investor sentiment of individual stocks has a greater impact on IPO excess returns than the investor sentiment of market.While simultaneously using investor sentiment of market and investor sentiment of individual stocks;we can better explain the impact of investor sentiment on IPO excess returns.