Analysis of the relationship between retail investor sentiment and initial IPO returns in Russia’s “new reality” (since 2022) 

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Abstract

Against the backdrop of the transformation of the Russian stock market after 2022, the relevance of studying the factors influencing the pricing of shares during their initial public offerings (IPOs) has increased. This article presents the results of the first stage of the research - an analysis of the relationships between the initial returns of IPOs on the Russian stock market during the period 2022-2024 and retail market sentiment, retail demand in monetary terms and the number of investors. The correlation analysis revealed a statistically significant positive relationship between the level of sentiment and first-day returns, while retail demand in monetary terms and the number of investors showed no significant relationship with IPO returns. The study also identified a persistent behavioral pattern: retail investors act as net buyers (their total purchases exceed their total sales) on the first trading day. The findings open up prospects for further modeling of causal relationships between sentiment, retail demand, the number of investors and initial IPO returns on extended datasets.

About the authors

Alexander E. Segal

Sberbank

Author for correspondence.
Email: AESegal@sberbank.ru
ORCID iD: 0009-0004-1534-9376

Head of Corporate Finance Practice in Equity Capital Markets

Russian Federation, Moscow

Anton V. Malkov

T-Bank

Email: a.v.malkov@tbank.ru

Cand. Sci. (Econ.), Managing Director for Capital Markets

Russian Federation, Moscow

Andrey V. Osadchev

T-Bank

Email: a.osadchev@tbank.ru

Manager of the Capital Markets Department

Russian Federation, Moscow

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