12/2017 vol. 13
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SPECIAL ISSUE PAPER
Investor Sentiment and IPOs Anomalies: An Agent-Based Computational Finance
Gaofeng Zou 1,2
,
 
Qiyuan Cheng 1,3
,
 
Zhenwei Lv 1,3
,
 
John Edmunds 4
,
 
Xiaopeng Zhai 1
 
 
 
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1
College of Management and Economics, Tianjin University, Tianjin, 300072, CHINA
 
2
China Center for Social Computing and Analytics, Tianjin, 300072, CHINA
 
3
Key Laboratory of Computing and Analytics of Complex Management Systems, Tianjin, 300072, CHINA
 
4
Babson College, 212 Tomasso Hall, Babson Park, MA 02457, USA
 
 
Online publication date: 2017-11-16
 
 
Publication date: 2017-11-16
 
 
EURASIA J. Math., Sci Tech. Ed 2017;13(12):7707-7721
DOI: https://doi.org/10.12973/ejmste/77931
 
 
Article (PDF)
References (31)
 
This article belongs to the special issue "Problems of Application Analysis in Knowledge Management and Science-Mathematics-Education".
KEYWORDS
institutional investor sentiment
individual investor sentiment
agent-based computational finance
IPOs long-term performance
 
TOPICS
Evaluation and Assessment
Mathematics Education
 
ABSTRACT
It is worthwhile to investigate abnormal performance of IPOs by incorporating investor sentiment. Using the method of Agent-based Computational Finance (ACF), we analyze the effect from different kinds of investor sentiment on IPOs first-day underpricing and long-term performance. The results show that individual investor’s sentiment is positively correlated with the IPO’s first-day underpricing and its long-run performance. In the long run, along with the rising of individual investor sentiment, IPOs’ long-term performance will change from underperforming to outperforming. This conclusion provides a more reasonable explanation for the different IPOs long-term performance.
 
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