表題番号：2018K-012
日付：2019/03/05
研究課題国内新興市場におけるIPO株式のパフォーマンスと個人投資家のセンチメント
| 研究者所属（当時） | 資格 | 氏名 | |
|---|---|---|---|
| （代表者） | 政治経済学術院 政治経済学部 | 教授 | 小倉 義明 |
- 研究成果概要
- I revised the statistical analysis on the impact of market sentiment to IPO underpricing in Japanese stock exchanges for small capital firms from 2004 to 2014, which I conducted in the last academic year, and complied the result into a working paper. To investigate the impact of the behavioral bias, which is called sentiment, to the IPO underpricing, I used the daily market turnover rate in the first five trading days after IPO as a proxy for the sentiment. The most important revision is the analysis to show that the inverse U-shaped relationship between the allocation to retail investors, who are presumably susceptible to the sentiment, and the sentiment. If an IPO stock is not subject to sentiment, retail investors are reluctant to bid for the initial offer. This implies a positive correlation between the sentiment and the allocation to retail investors. If an IPO stock is highly subject to sentiment, many retail investors bid for the offer and more likely to be rejected due to the excess demand. This implies the negative correlation between them. The estimated coefficients indicate that if the allocation share of retail investors is higher than about 60%, the latter force exceeds the former.