Abstract: Considering the influence of long-term holding income of IPO stocks on investors' decision-making, the utility function of single-period decision-making is extended to the utility function of multi-period decision-making. Under the framework of rational anticipation model, a theoretical model is established based on the microscopic structure of China's IPO market. A theoretical explanation is provided for the microscopic mechanism of information disclosure that affects the IPO first-day returns.The model shows that information disclosure is negatively correlated with the return on the first day of the IPO. The disclosed information, namely public information, reduces the degree of deviation of the secondary market pricing from the primary market pricing, and thus has a negative impact on the IPO first-day returns. The 593 IPO companies listed on the Shenzhen Main Board from June 2009 to November 2016 tested the model empirically.The empirical results support the theoretical model conclusions.The research in this paper not only enriches the research literature on IPO first day returns in terms of research perspectives and methods,but also provides supervisors with relevant decision-making suggestions.

Key words: public information, Monte Carlo simulation, two-stage least squares method, high frequency data