Investor sentiment and IPOs anomalies: An agent-based computational finance

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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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APA

Zou, G., Cheng, Q., Lv, Z., Edmunds, J., & Zhai, X. (2017). Investor sentiment and IPOs anomalies: An agent-based computational finance. Eurasia Journal of Mathematics, Science and Technology Education, 13(12), 7707–7721. https://doi.org/10.12973/ejmste/77931

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